Eberhard Mayerhofer
University of Limerick
68 Papers
531 Citations
Eberhard Mayerhofer is an academic researcher from University of Limerick. The author has contributed to research in topics: Affine transformation & Wishart distribution. The author has an hindex of 17, co-authored 66 publications. Previous affiliations of Eberhard Mayerhofer include Deutsche Bundesbank & Vienna University of Economics and Business.
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Papers
Affine Processes on Positive Semidefinite Matrices
TL;DR: In this paper, the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices is provided, and a large range of useful applications in finance, including multi-asset option pricing with stochastic volatility and correlation structures.
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Exponential moments of affine processes
TL;DR: In this article, the maximal domain of the moment generating function of affine processes was investigated and the validity of the affine transform formula that connects exponential moments with the solution of a generalized Riccati differential equation was shown.
100
Affine Diffusion Processes: Theory and Applications
TL;DR: In this paper, a detailed study of affine diffusion processes on general and on the canonical state space in particular is given, and a full proof of existence and uniqueness through stochastic invariance of the state space is provided.
96
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Affine Diffusion Processes: Theory and Applications
TL;DR: In this article, a detailed study of affine diffusion processes on general and on the canonical state space in particular is given, and a full proof of existence and uniqueness through stochastic invariance of the state space is provided.
62
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On strong solutions for positive definite jump-diffusions
TL;DR: In this article, the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices was shown for affine diffusion processes and therefore extended considerably the known statements concerning Wishart processes, which have been extensively employed in financial mathematics.
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