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The Alpha-Heston Stochastic Volatility Model
主題:   The Alpha-Heston Stochastic Volatility Model主講人:   馬春華地點:   騰訊會議 253 652 179時間:   2021-05-30 16:15:00組織單位:   理學院

主講人簡介馬春華, 南開大學副教授, 主要從事概率論與數理統計的研究,研究方向為測度值過程,分枝移民過程。目前主持國家自然科學基金2項,在Finance and Stochastics,Stochastic Process. Appl等雜志發表學術論文多篇。

內容摘要We introduce an affine extension of Heston model, called the α-Heston model, where the instantaneous variance process contains a jump part driven by α-stable processes with α∈(1, 2]. In this framework, we examine the implied volatility and its asymptotic behaviors for both asset and VIX options. Furthermore, we study the jump clustering phenomenon observed on the market. We provide a jump cluster decomposition for the variance process where each cluster is induced by a “mother jump” representing a triggering shock followed by other “children jumps” characterizing the contagion impact. The talk is based on joint works with Jiao Ying, Scotti Simone and Zhou Chao.