Affine Jump-Diffusions: Stochastic Stability and Limit Theorems
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. …
Affine Point Processes: Approximation and Efficient Simulation
We establish a central limit theorem and a large deviations principle for affine point processes, which are stochastic models of correlated event timing widely used in finance and …