Guest Speaker Seminar - A STUDY OF DYNAMICAL SYSTEMS OF AFFINE DIFFUSIONS AND ITS APPLICATIONS IN FINANCE

Event Details
  • Date/Time:
    • Friday November 18, 2011
      10:00 am - 11:00 am
  • Location: ISyE Executive Classroom
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Contact

Shijie Deng

Summaries

Summary Sentence: A STUDY OF DYNAMICAL SYSTEMS OF AFFINE DIFFUSIONS AND ITS APPLICATIONS IN FINANCE

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TITLE: A  STUDY OF DYNAMICAL SYSTEMS OF AFFINE DIFFUSIONS AND ITS APPLICATIONS IN FINANCE

SPEAKER: Kyoung-Kuk (Ken) Kim

ABSTRACT:

In this talk, we consider multi-dimensional affine processes with continuous sample paths. By analyzing the Riccati system, which is associated with the affine process via the transform formula, we fully characterize the regions of exponents in which exponential moments of a given process do not explode at any time or explode at a given time. In these cases, we also compute the long-term growth rate and the explosion rate for exponential moments. These results provide a handle to study implied volatility asymptotics in models where returns of stock prices are described by affine processes whose exponential moments do not have explicit formulae. (joint work with Rudra Jena and Hao Xing)

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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Nov 8, 2011 - 4:41am
  • Last Updated: Oct 7, 2016 - 9:56pm