NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Affine Processes and Application in Finance

D. Duffie, D. Filipovic, W. Schachermayer

NBER Technical Working Paper No. 281
Issued in September 2002
NBER Program(s):   TWP

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.

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Document Object Identifier (DOI): 10.3386/t0281

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