The Heston Model and Multidimensional Affine Diffusions

  • Aurélien Alfonsi
Part of the Bocconi & Springer Series book series (BS, volume 6)


In Chap.  1, we have presented the real valued affine diffusions. Basically, these diffusions are either the Ornstein-Uhlenbeck process or the Cox-Ingersoll-Ross process. This chapter presents the general framework for affine diffusions in a multidimensional context. In the first section, we give the definition and the main properties of affine diffusions. Then, we present two examples of vector valued affine processes that are of practical use in finance.


Order Scheme Infinitesimal Generator Euclidean Jordan Algebra Asian Option Call Price 
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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

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