This seminar will be presented in hybrid mode. The speaker will deliver her talk in person.
Title: An affine infinite-dimensional stochastic volatility model
Abstract: I will first briefly explain what an affine stochastic process is. Such processes have received a considerable amount of attention in the past years due to their tractability and (relative) flexibility. For example, in 2011 Cuchiero, Filipovic, Mayerhofer, and Teichmann provided a characterization of all affine processes taking values in the cone of non-negative semi-definite matrices. The motivation for doing so was to construct tractable finite-dimenstional stochastic volatility models.
The talk concerns joint work with Sven Karbach and Asma Khedher.