AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

In this paper, we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting, times of jumps can be both inaccessible and predictable. To this end, we develop a general theory of finite dimensional affine semimartingales under very weak assumptions. We show that the corresponding semimartingale characteristics have affine form and that the conditional characteristic function can be represented with solutions to measure differential equations of Riccati type. We prove existence of affine Markov processes and affine semimartingales under mild conditions and elaborate on examples and applications including affine processes in discrete time.

Details

OriginalspracheEnglisch
Seiten (von - bis)3387-3437
Seitenumfang51
FachzeitschriftAnnals of Applied Probability
Jahrgang29
Ausgabenummer6
PublikationsstatusVeröffentlicht - Dez. 2019
Peer-Review-StatusJa

Externe IDs

Scopus 85082296165
ORCID /0000-0002-1484-7187/work/142243096
ORCID /0000-0003-0913-3363/work/166762741

Schlagworte

Schlagwörter

  • Affine process, semimartingale, Markov process, stochastic discontinuity, measure differential equations, default risk, interest rate, option pricing, announcement effects, dividends, TERM STRUCTURE, DIVIDEND POLICY