报 告 人：马春华 南开大学
报告时间：2020年10月29日 9:00-12:00
地 点：腾讯会议 （ID： 954 991 001）
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， 南开大学教授， 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。
