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Affine processes on positive semidefinite matrices
Work
Year: 2011
Type: article
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 an... more
Source: The Annals of Applied Probability
Authors Christa Cuchiero, Damir Filipović, Eberhard Mayerhofer, Josef Teichmann
Institutions Swiss Finance Institute, École Polytechnique Fédérale de Lausanne, ETH Zurich
Cites: 77
Cited by: 150
Related to: 10
FWCI: 16.13
Citation percentile (by year/subfield): 97.72
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Sustainable Development Goal No poverty
Open Access status: bronze