Computational and Applied Mathematics (CAM) seminar

​Sonja Cox, University of Amsterdam: An affine infinite-dimensional stochastic volatility model

Abstract:
Affine stochastic processes have received a considerable amount of attention in the past years due to their tractability and (relative) flexibility. For example, in 2011 Cuchiero, Filipovic, Mayerhofer, and Teichmann provided a characterization of all affine processes taking values in the cone of non-negative semi-definite matrices, thus identifying all affine finite-dimensional stochastic covariance models. Inspired by the need of infinite-dimensional stochastic covariance models, we established existence of affine processes in the cone of positive self-adjoint Hilbert-Schmidt operators.
In my talk I will explain what affine processes are, present our infinite-dimensional existence result, and give some examples of infinite-dimensional affine volatility models.
​​Organiser: David Cohen (david.cohen@chalmers.se). Please contact me if you need the Zoom password. Zoom meeting link: https://chalmers.zoom.us/j/69309989575
Kategori Seminarium
Plats: Online
Tid: 2021-12-08 13:15
Sluttid: 2021-12-08 14:00

Sidansvarig Publicerad: to 02 dec 2021.