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.