I've read about this detector in many papers and articles (though I don't know it in details) and I've read that it is much better than DoG in many situations.
Initially, I thought the Hessian-affine was the SURF detector, but they're not the same thing, right?
Is there any OpenCV implementation?
Sorry, no implementation of this detector in OpenCV (http://code.opencv.org/issues/1628)
No, it's not the same thing.
Long story short, SURF is a "family" of detectors and descriptors, and there are plenty of of them, as you can see it in the OpenCV documentation (http://docs.opencv.org/3.0-beta/doc/py_tutorials/py_feature2d/py_surf_intro/py_surf_intro.html).
From what I remember DoG behave the same than Hessian affine detector usually for natural images.
Hope this helps.