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H 1 Rough volatility from an affine point of view

Auteurs : Cuchiero, Christa (Auteur de la Conférence)
CIRM (Editeur )

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    Résumé : We represent Hawkes process and their Volterra long term limits, which have recently been used as rough variance processes, as functionals of infinite dimensional affine Markov processes. The representations lead to several new views on affine Volterra processes considered by Abi-Jaber, Larsson and Pulido. We also discuss possible extensions to rough covariance modeling via Volterra Wishart processes.
    The talk is based on joint work with Josef Teichmann.

    Codes MSC :
    60J25 - Continuous-time Markov processes on general state spaces
    91B70 - Stochastic models in economics

      Informations sur la Vidéo

      Langue : Anglais
      Date de publication : 21/11/2017
      Date de captation : 16/11/2017
      Collection : Research talks ; Mathematics in Science and Technology ; Probability and Statistics
      Format : MP4
      Durée : 00:27:35
      Domaine : Mathematics in Science & Technology ; Probability & Statistics
      Audience : Chercheurs ; Doctorants , Post - Doctorants
      Download : https://videos.cirm-math.fr/2017-11-16_Cuchiero.mp4

    Informations sur la rencontre

    Nom de la rencontre : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques
    Organisateurs de la rencontre : Bouchard, Bruno ; Cheridito, Patrick ; Schweizer, Martin ; Touzi, Nizar
    Dates : 13/11/2017 - 17/11/2017
    Année de la rencontre : 2017
    URL Congrès : https://conferences.cirm-math.fr/1730.html

    Citation Data

    DOI : 10.24350/CIRM.V.19245303
    Cite this video as: Cuchiero, Christa (2017). Rough volatility from an affine point of view. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19245303
    URI : http://dx.doi.org/10.24350/CIRM.V.19245303


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