Title: Affine processes and dynamical systems
연사자 : 김경국 교수님
(한국과학기술원 산업 및 시스템 공학과)
Abstract:
In this talk, we consider some general classes of affine processes. The affine family combines modeling flexibility with substantial tractability, particularly through transform analysis; these models are used both for econometric modeling and for pricing and hedging of derivative securities.We analyze the canonical affine models defined by Dai and Singleton (2000), focusing on the legitimacy of the transform formula, stationarity and tail behaviors. Later, this legitimacy of transform formula was extended to general affine diffusions by Filipovic and Mayerhofer (2009). Based on this result, we study the moment explosion phenomenon of affine diffusions, focusing on its implications on implied volatilities for options with large time-to-maturity or with extreme strikes.
일시 : 2010년 10월 15일(금) 오후 3시
장소 : 아산 이학관 234호