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The Alpha-Heston Stochastic Volatility Model

发布时间:2021-05-24理学院

主题:The Alpha-Heston Stochastic Volatility Model

主讲人:马春华

时间:腾讯会议 253 652 179

地点:2021-05-30 16:15:00

组织单位:理学院

主讲人简介马春华, 南开大学副教授, 主要从事概率论与数理统计的研究,研究方向为测度值过程,分枝移民过程。目前主持国家自然科学基金2项,在Finance and Stochastics,Stochastic Process. Appl等杂志发表学术论文多篇。

内容摘要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:闫理坦、张振中

视频: 摄影: 撰写:张振中 信息员:唐晓亮 编辑:高坤