报告题目：The Alpha-Heston Stochastic Volatility Model
时 间：2021年09月08日（星期三）上午10：00
地 点：腾讯会议（ID：731 233 475）
主 办：数学与统计学院
参加对象：统计系老师与学生
报告摘要：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.
报告人简介：马春华教授任职于南开大学数学科学学院。他主要研究方向为测度值过程和分枝移民过程，目前已在《Stochastic Process. Appl. 》、《Electron. J. Probab.》、《Ann. Inst. Henri Poincaré Probab. Stat.》、《J. Appl. Probab.》等国际学术期刊上发表数篇论文。