TY  - JOUR
AU  - Duffie,D.
AU  - Filipovic,D.
AU  - Schachermayer,W.
TI  - Affine Processes and Application in Finance
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 281
PY  - 2002
Y2  - September 2002
UR  - http://www.nber.org/papers/t0281
L1  - http://www.nber.org/papers/t0281.pdf
N1  - Author contact info:
Darrell Duffie
Graduate School of Business
Stanford University
Stanford, CA  94305-5015
Tel: 650/723-1976
Fax: 650/725-7979
E-Mail: duffie@stanford.edu
AB  - 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.
ER  -