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Sergio PULIDO – Stochastic Model in Finance
October 2, 2017, 4:00 pm - 5:00 pm
Joint seminar CMAP-CREST-ENSTA “Stochastic Model in Finance “
1st Monday of each month
Time: 16:00 pm – 17:00 pm
Date: 02th of October 2017
Place: Room 3005.
Sergio PULIDO – “The Characteristic Function of Affine Volterra Processes”.
Abstract: A growing body of empirical research indicates that volatility fluctuates more rapidly than Brownian motion, which is inconsistent with standard semimartingale models. Fractional volatility models and their relatives have emerged as compelling alternatives; however, their non-Markovian structure makes computations more difficult. We show that, for a large class of such models, it is nonetheless possible to compute the characteristic function by solving an integral equation similar to the Riccati equations associated with standard affine processes.
Joint Paper : Eduardo Abi Jaber and Martin Larsson.
Caroline HILLAIRET (CREST ) and Peter TANKOV (CREST)
Address : ENSAE ParisTech 5, avenue Henry Le Chatelier 91120 Palaiseau, How to come?