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• W2182553182 abstract "This paper introduces a new class of matrix-valued affine jumpdiffusions that are convenient for modeling multivariate risk factors in many financial and econometric problems. We provide an analytical transform analysis for this class of models, leading to an analytical treatment of a broad class of multivariate valuation and econometric problems. Examples of potential applications include fixed-income problems with stochastically correlated risk factors and default intensities, multivariate option pricing with general volatility and correlation leverage structures, and dynamic portfolio choice with jumps in returns, volatilities or correlations." @default.
• W2182553182 created "2016-06-24" @default.
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• W2182553182 date "2008-01-01" @default.
• W2182553182 modified "2023-09-27" @default.
• W2182553182 title "Asset Pricing with Matrix Affine Jump Diffusions" @default.
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