<address id="rptxt"><nobr id="rptxt"><meter id="rptxt"></meter></nobr></address><address id="rptxt"><form id="rptxt"><nobr id="rptxt"></nobr></form></address>
<form id="rptxt"><th id="rptxt"></th></form>
<noframes id="rptxt">

    <address id="rptxt"></address>

    <address id="rptxt"></address>
    <noframes id="rptxt"><form id="rptxt"><nobr id="rptxt"></nobr></form>

    <address id="rptxt"></address>
    <form id="rptxt"><nobr id="rptxt"></nobr></form><noframes id="rptxt">

    The Alpha-Heston Stochastic Volatility Model

    時間:2021.05.30 16:15-17:20

    地點:騰訊會議 253 652 179



    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。


    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.