南开大学马春华教授学术报告

发布者:韩伟发布时间:2021-09-07浏览次数:10

报告题目:The Alpha-Heston Stochastic Volatility Model

       间:20210908日(星期三)上午1000

       点:腾讯会议(ID731 233 475 

       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。