Markov-modulated Affine Processes

Kevin Kurt
, Rüdiger Frey

Institute for Statistics and Mathematics

Publication: Working/Discussion Paper › Working Paper/Preprint

1 Journal article

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2022

Markov-modulated affine processes
Kurt, K. & Frey, R., Nov 2022, In: Stochastic Processes and their Applications. 153, p. 391-422
Publication: Scientific journal › Journal article › peer-review