<div dir="ltr"><p class="gmail-MsoTitle" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:24pt;font-family:"New York",serif;font-weight:bold;text-decoration-line:underline"><span style="font-size:18pt;font-family:"Times New Roman",serif;color:rgb(32,33,36);background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Seminario di Finanza Quantitativa </span><span style="font-size:18pt;font-family:"Times New Roman",serif"></span></p>

<p class="gmail-MsoTitle" style="margin:0cm 0cm 0.0001pt;text-align:center;font-size:24pt;font-family:"New York",serif;font-weight:bold;text-decoration-line:underline"><span style="font-size:18pt;font-family:"Times New Roman",serif"><span style="text-decoration-line:none"> </span></span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span style="font-size:16pt;font-family:"Times New Roman",serif">Mercoledì 8  maggio 2019</span></b><b><span style="font-size:16pt;font-family:"Times New Roman",serif"></span></b></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">ore 11:00</span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"> </span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><u><span style="font-size:16pt;font-family:"Times New Roman",serif">Scuola Normale Superiore</span></u></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Pisa</span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Sala Riunioni Collegio Puteano</span></p>

<p class="MsoNormal" align="center" style="margin:0cm 0cm 0.0001pt 9pt;text-align:center;line-height:18pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif"> </span></p>

<p class="MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><u><span style="font-size:10pt;font-family:"Times New Roman",serif"><span style="text-decoration-line:none"> </span></span></u></b></p>

<p class="MsoNormal" align="center" style="text-align:center;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-family:Arial,sans-serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"> </span><b><span style="font-size:22pt;font-family:"Times New Roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Simone Scotti</span></b><b><span style="font-size:22pt;font-family:"Times New Roman",serif"></span></b></p>

<p class="MsoNormal" align="center" style="text-align:center;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span style="font-family:"Times New Roman",serif">(</span></b><span style="font-family:"Times New Roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Université Paris Diderot</span><span style="font-family:"Times New Roman",serif">)</span></p>

<p class="MsoNormal" style="margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><i><span style="font-family:"Times New Roman",serif"> </span></i></p>

<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif">Terrà un
seminario dal titolo:</span></p>

<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span style="font-size:22pt;font-family:"Times New Roman",serif"> </span></b></p>

<p class="MsoNormal" align="center" style="text-align:center;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><span lang="EN-US" style="font-size:22pt;font-family:"Times New Roman",serif">“<span style="background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">The Alpha-Heston Stochastic Volatility Model</span>”</span></b></p>

<p class="MsoNormal" align="center" style="text-align:center;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><i><span lang="EN-US" style="font-size:10pt;font-family:"Times New Roman",serif"> </span></i></b></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><b><i><span lang="EN-US" style="font-size:10pt;font-family:"Times New Roman",serif">Abstract:</span></i></b></p>

<p style="text-align:justify;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial;margin-right:0cm;margin-left:0cm;font-size:12pt;font-family:"Times New Roman",serif"><span lang="EN-US">We introduce an affine extension
of the Heston model where the instantaneous variance process contains a jump
part driven by </span>α<span lang="EN-US">-stable processes with </span>α <span lang="EN-US" style="font-family:"Cambria Math",serif">∈</span><span lang="EN-US"> (1, 2]. In this
framework, we examine the implied volatility and its asymptotic behaviors for
both asset and variance options. In particular, we show that the behavior of
stock implied volatility is the sharpest coherent with theoretical bounds at
extreme strikes independently of the value of </span>α <span lang="EN-US" style="font-family:"Cambria Math",serif">∈</span><span lang="EN-US"> (1, 2). As far as variance
options are concerned, VIX<span style="top: -4pt;">2</span>-implied volatility is characterized by an upward-sloping
behavior and the slope is growing when </span>α<span lang="EN-US"> decreases. Furthermore,
we examine the jump clustering phenomenon observed on the variance mar- ket and
provide a jump cluster decomposition which allows to analyse the cluster
processes. The variance process could be split into a basis process, without
large jumps, and a sum of jump cluster processes, giving explicit equations for
both terms. We show that each cluster process is induced by a first “mother”
jump giving birth to a sequence of “child jumps”. We first obtain a closed form
for the total number of clusters in a given period. Moreover each cluster
process satisfies the same </span>α<span lang="EN-US">-CIR evolution of the
variance process excluding the long term mean coefficient that takes the value
0. We show that each cluster process reaches 0 in finite time and we exhibit a
closed form for its expected life time. We study the dependence of the number
and the duration of clusters as function of the parameter </span>α<span lang="EN-US"> and the threshold used to split large and small jumps. </span></p>

<p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Tutti gli
interessati sono invitati a partecipare.</span></p><p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><br></span></p><p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial">Classe di Scienze</span></p><p class="MsoNormal" style="text-align:justify;margin:0cm 0cm 0.0001pt;font-size:12pt;font-family:TradeGothicPl-CondEighteen"><span style="font-size:16pt;font-family:"Times New Roman",serif;background-image:initial;background-position:initial;background-size:initial;background-repeat:initial;background-origin:initial;background-clip:initial"><br></span></p><div><div dir="ltr" class="gmail_signature" data-smartmail="gmail_signature"><div dir="ltr"><div>Valeria Giuliani</div><div>Scuola Normale Superiore</div><div>Servizio alla Didattica e Allievi</div><div>tel. 050 509260</div><div>Piazza dei Cavalieri, 7</div><div>56126 Pisa</div><div>E-mail: <a href="mailto:valeria.giuliani@sns.it" target="_blank">valeria.giuliani@sns.it</a></div><div>E-mail: <a href="mailto:classi@sns.it" target="_blank">classi@sns.it</a></div></div></div></div></div>

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