Asset Pricing with Matrix Affine Jump Diffusions∗
نویسندگان
چکیده
This paper introduces a new class of matrix-valued affine jump diffusions that are convenient for modeling multivariate risk factors in many financial and econometric problems. We provide an analytical transform analysis for this class of models, leading to an analytical treatment of a broad class of multivariate valuation and econometric problems. Examples of potential applications include fixed-income problems with stochastically correlated risk factors and default intensities, multivariate option pricing with general volatility and correlation leverage structures, and dynamic portfolio choice with jumps in returns, volatilities or correlations. JEL classification: D51, E43, G13, G12
منابع مشابه
Transform Analysis and Asset Pricing for Affine
The fourth Stephen A. Ross Prize in Financial Economics has been awarded to “Transform Analysis and Asset Pricing for Affine Jump-Diffusions” published in Econometrica in 2000, by Darrell Duffie of Stanford University, Jun Pan of Massachusetts Institute of Technology, and Kenneth Singleton of Stanford University. The prize committee chose this paper for its important methodological contribution...
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