Affine Diffusion Processes: Theory and Applications

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

Business, Economics, Finance +13

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Mathematics, Differential Equations +11

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 3K citations

Business, Economics, Finance +17

A YIELD‐FACTOR MODEL OF INTEREST RATES

Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations

Business, Economics, Finance +17

Specification Analysis of Affine Term Structure Models

Qiang Dai, Kenneth J. Singleton · The Journal of Finance · 2000 · 1.8K citations · Full text

Business, Economics, Finance +17