Affine processes on positive semidefinite matrices
arXiv:0910.0137 · doi:10.1214/10-AAP710
Abstract
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
Published in at http://dx.doi.org/10.1214/10-AAP710 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
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