Affine Processes Are Regular

Affine Processes and Applications in Finance

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuousstate 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.

application of affine gray-box neural models for nonlinear control of chemical processes

Numerical solution and simulation of random differential equations with Wiener and compound Poisson Processes

Ordinary differential equations(ODEs) with stochastic processes in their vector field, have lots of applications in science and engineering. The main purpose of this article is to investigate the numerical methods for ODEs with Wiener and Compound Poisson processes in more than one dimension. Ordinary differential equations with Ito diffusion which is a solution of an Ito stochastic differentia...

Affine Models

Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as empirical aspects of the affine model class. Starting from the original one-factor shortrate models of Vasiček and Cox et al, we provide an overview of the ...

Regular cyclic coverings of regular affine maps

The regular coverings of regular affine algebraic maps are considered, and a large family of totally ramified coverings—the so-called Steinberg and Accola coverings—are fully classified.