全球智库信息集成服务系统(G2TT): Generalized Transform Analysis of Affine Processes and Applications in Finance

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w16906
来源ID	Working Paper 16906
	Generalized Transform Analysis of Affine Processes and Applications in Finance
	Hui Chen; Scott Joslin
发表日期	2011-03-24
出版年	2011
语种	英语
摘要	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.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w16906
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/574581
推荐引用方式 GB/T 7714	Hui Chen,Scott Joslin. Generalized Transform Analysis of Affine Processes and Applications in Finance. 2011.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w16906.pdf（721KB）	智库出版物		限制开放	CC BY-NC-SA	浏览