Affine processes on positive semidefinite matrices

DOI10.1214/10-AAP710zbMATH Open1219.60068arXiv0910.0137OpenAlexW3126049948MaRDI QIDQ535197

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Publication date: 11 May 2011

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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.

Full work available at URL: https://arxiv.org/abs/0910.0137

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