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    The Alpha-Heston Stochastic Volatility Model

    時間:2021.05.30 16:15-17:20

    地點:騰訊會議 253 652 179

    主講人:馬春華

    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。

    活動內容摘要:

    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.

    主持人:閆理坦、張振中

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