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CATEGORIES:Probability
SUMMARY:Moment explosions and long-term behaviour of affin
e stochastic volatility models - Martin Keller-Res
sel (TU Vienna)
DTSTART;TZID=Europe/London:20080618T141500
DTEND;TZID=Europe/London:20080618T150000
UID:TALK12433AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/12433
DESCRIPTION:We consider a class of asset pricing models\, wher
e the risk-neutral joint process of log-price and
its stochastic variance is given by an affine proc
ess in the sense of Duffie\, Filipovic\, and Schac
hermayer. First we obtain conditions for the price
process to be conservative and a martingale. Then
we present results on the long-term behavior of t
he model\, including an expression for the invaria
nt distribution of the stochastic variance process
. We study moment explosions of the price process\
, and provide explicit expressions for the time at
which a moment of given order becomes infinite. W
e discuss applications of these results\, in parti
cular to the asymptotics of the implied volatility
smile\, and conclude with some explicit calculati
ons for the Heston model without and with added ju
mps\, a model of Bates and the Barndorff-Nielsen-S
hephard model.
LOCATION:MR14\, CMS\, Wilberforce Road\, Cambridge\, CB3 0W
B
CONTACT:Norros I.
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