Generalized transform analysis of affine processes and applications in finance
By: Hui Chen, Scott Joslin
Contributors: Joslin. Scott; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16906; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16906.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Nonlinearity is an important consideration in many problems of finance and economics, such as pricing securities, computing equilibrium, and conducting structural estimations.  We extend the transform analysis in Duffie, Pan, and Singleton (2000) by providing analytical treatment of a general class of nonlinear transforms for processes with tractable conditional characteristic functions.  We illustrate the applications of the generalized transform method in pricing contingent claims and solving general equilibrium models with preference shocks, heterogeneous agents, or multiple goods.  We also apply the method to a model of time-varying labor income risk and study the implications of stochastic covariance between labor income and dividends for the dynamics of the risk premiums on financial wealth and human capital"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/9/2011.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.