Abstract
In Chap. 1, we have presented the real valued affine diffusions. Basically, these diffusions are either the Ornstein-Uhlenbeck process or the Cox-Ingersoll-Ross process. This chapter presents the general framework for affine diffusions in a multidimensional context. In the first section, we give the definition and the main properties of affine diffusions. Then, we present two examples of vector valued affine processes that are of practical use in finance.
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Alfonsi, A. (2015). The Heston Model and Multidimensional Affine Diffusions. In: Affine Diffusions and Related Processes: Simulation, Theory and Applications. Bocconi & Springer Series, vol 6. Springer, Cham. https://doi.org/10.1007/978-3-319-05221-2_4
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DOI: https://doi.org/10.1007/978-3-319-05221-2_4
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