NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Generalized Transform Analysis of Affine Processes and Applications in Finance

Hui Chen, Scott Joslin

NBER Working Paper No. 16906
Issued in March 2011

---- Acknowledgements -----

We thank Damir Filipovic, Xavier Gabaix, Martin Lettau, Ian Martin, Jun Pan, Tano Santos, Ken Singleton, and seminar participants at Boston University, Duke Fuqua, MIT Sloan, Penn State Smeal, the 2009 Adam Smith Asset Pricing Conference, and the Winter 2010 Econometric Society Meetings (Atlanta) for comments. Tran Ngoc-Khanh and Yu Xu provided excellent research assistance. All the remaining errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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