@techreport{aefd6eb8c9df4261bacc3f4c2d9e6954,
title = "Affine processes and applications in finance",
abstract = "We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes. (author's abstract)",
author = "D. Duffie and D. Filipovic and Walter Schachermayer",
year = "2001",
doi = "10.57938/aefd6eb8-c9df-4261-bacc-3f4c2d9e6954",
language = "English",
series = "Working Papers SFB {"}Adaptive Information Systems and Modelling in Economics and Management Science{"}",
number = "81",
publisher = "SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business",
edition = "December 2001",
type = "WorkingPaper",
institution = "SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business",
}