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arXiv · 0910.0137

Affine processes on positive semidefinite matrices

Christa Cuchiero·Damir Filipović·Eberhard Mayerhofer·Josef Teichmann
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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.

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Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer, Josef Teichmann. 2009-10-01. Affine processes on positive semidefinite matrices. https://doi.org/10.1214/10-aap710

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