Questions tagged [affine-processes]

The tag has no usage guidance.

14 questions
Filter by
Sorted by
Tagged with
90 views

Pure jump process in Duffie, Pan and Singleton's paper

In page 1349 or Section 2.1 of "Duffie, D., Pan, J., & Singleton, K. (2000). Transform Analysis and Asset Pricing for Affine Jump-Diffusions. Econometrica, 68(6), 1343-1376" the pure ...
72 views

Affine Jump Diffusion

I'm currently looking into affine jump-diffusions. I would like to get to know the literature better and I know the paper by Duffie, Pan, and Singleton (2000) is a very celebrated paper. Although I ...
• 107
139 views

Pricing kernel representation

I am reading this paper https://mpra.ub.uni-muenchen.de/4969/1/MPRA_paper_4969.pdf pp.6-7 on discrete-time bond pricing. The model adopted is a a common affine model, the short rate follows \begin{...
249 views

165 views

Find the parameter $d$ of the Affine Option Pricing Model in Duffie, Pan and Singleton (2000)

According to Duffie, Pan and Singleton (2000) for any real number $y$ and any $a$ and $b \in \mathbb{R}^n$, the price of a security that pays $\exp(aX_t)$ at time $T$ in the event that $bX_t \leq y$ ...
• 253
1 vote
118 views

Estimation of Affine Term Structure Model

In this paper the estimation of Affine Term Structure models via ML is discussed. In the Affine $N$-factors model the price of the bond is  P(X_t,t,T;\theta) = \exp(-\gamma_0(T-t;\theta)-\gamma(T-...
1 vote
79 views

Incorrect characterization of spot rate?

Is the t in the red boxed $R(t,T)$ supposed to be the same as the S in the green boxed $R(S,T)$?
• 921