Concepedia

Concept

affine processes

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79

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22.9K

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126

Authors

80

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About

Affine processes is a class of continuous-time Markov processes characterized by the property that the logarithm of their conditional characteristic function or Laplace transform is an affine function of the state variable. This property ensures significant analytical tractability, making them fundamental models in quantitative finance for modeling phenomena such as interest rates, asset prices, and volatility.

Top Authors

Rankings shown are based on concept H-Index.

NT

University of Cambridge

WS

University of Vienna

JL

University of Illinois System

MO

Stanford University

Top Institutions

Rankings shown are based on concept H-Index.

McGill University

Montreal, Canada

University of Vienna

Vienna, Austria

ETH Zurich

Zurich, Switzerland

Stanford University

Stanford, United States