BFS 2002

Contributed Talk

Affine Processes and Applications in Finance

Damir Filipovic, Darrell Duffie, Walter Schachermayer

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous- state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show a wide range of financial applications, including the CIR and Vasicek short rate models and Heston's stochastic volatility model.