Kurt, Kevin, Frey, Rüdiger. 2020. Markov-modulated Affine Processes. 13th European Summer School in Financial Mathematics, Vienna, Austria, 31.08.-04.09.

RIS

@CONFERENCE{Kurt2020,
title = {Markov-modulated Affine Processes},
author = {Kevin Kurt and Rüdiger Frey},
year = {2020},
address = {Vienna},
url = {https://www.univie.ac.at/summer_school_MathFinance/index.html},
language = {EN},
misc = {13th European Summer School in Financial Mathematics},
abstract = {Affine processes have become an indispensable instrument in any toolbox for financial modelling due to their computational tractability and analytical flexibility. Roughly speaking, an affine process is characterized by the requirement that its drift, its diffusion matrix and the compensator of its jumps have affine dependence on the state variable. We extend this idea by allowing the translation part of the underlying affine functions to depend on some Markov process. This extension preserves the tractability of affine processes and allows for richer models in various financial applications. Our framework formalizes and generalizes a number of established models. On top of that,we introduce novel models, which are capable of capturing empirical features of financial data that are not explainable by means of standard affine processes, but are at the same time easy to calibrate.},
}