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Pathwise Construction of Affine Processes

In: Innovations in Insurance, Risk- and Asset Management

Author

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  • Nicoletta Gabrielli
  • Josef Teichmann

Abstract

Based on the theory of multivariate time changes for Markov processes, we show how to identify affine processes as solutions of certain time change equations. The result is a strong version of a theorem presented by J. Kallsen in [1] which provides a representation in law of an affine process as a time–change transformation of a family of independent Lévy processes. This also leads to a new perspective on strong approximations for affine processes.

Suggested Citation

  • Nicoletta Gabrielli & Josef Teichmann, 2018. "Pathwise Construction of Affine Processes," World Scientific Book Chapters, in: Kathrin Glau & Daniël Linders & Aleksey Min & Matthias Scherer & Lorenz Schneider & Rudi Zagst (ed.), Innovations in Insurance, Risk- and Asset Management, chapter 8, pages 185-213, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813272569_0008
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    Cited by:

    1. Schmidt, Thorsten & Tappe, Stefan & Yu, Weijun, 2020. "Infinite dimensional affine processes," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7131-7169.

    More about this item

    Keywords

    Insurance; Actuarial Science; Risk Measure; Reinsurance; Copula; Replicating Portfolio; Bayesian Finance; Risk Classification; Stochastic Dominance; Dynamic Hedging; Autoregressive Hidden Markov Models; Exchange-Traded Funds; Uncertainty Quantification; Fixed Income; Stochastic Processes for Finance;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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