[CvGmt News] [Notiziario] [Settimanale] avviso seminario di Finanza Quantitativa prof. Simone Scotti (8.05.2019)

[Valeria Giuliani]

Seminario di Finanza Quantitativa



*Mercoledì 8  maggio 2019*

ore 11:00



*Scuola Normale Superiore*

Pisa

Sala Riunioni Collegio Puteano





 *Simone Scotti*

*(*Université Paris Diderot)



Terrà un seminario dal titolo:



*“The Alpha-Heston Stochastic Volatility Model”*



*Abstract:*

We introduce an affine extension of the Heston model where the
instantaneous variance process contains a jump part driven by α-stable
processes with α ∈ (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 α ∈ (1, 2). As far as variance
options are concerned, VIX2-implied volatility is characterized by an
upward-sloping behavior and the slope is growing when α 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 α-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 α and the threshold used to split large and small jumps.

Tutti gli interessati sono invitati a partecipare.


Classe di Scienze


Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it

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