Agenda de l’IDP

Séminaire Orléans

Affine processes in the cone of positive Hilbert-Schmidt operators: a volatility model
Sonja Cox (Amsterdam)
Thursday 12 March 2020 14:00 -  Orléans -  Salle de Séminaires

Résumé :

Affine processes, i.e., processes of which the characteristic function is exponentially affine in the initial value, have gained a lot of attention in the finance literature in the past two decades due to their good tractability and their ability to cover a reasonably wide range of relevant processes. In my talk, I will give a brief introduction to affine processes. I will proceed to explain the challenges of considering such processes in the cone of positive Hilbert-Schmidt operators and discuss some well-posedness results. The motivation for studying this type of affine process lies in the desire to model infinite-dimensional volatility processes.

This concerns joint work with Sven Karbach and Asma Khedher (UvA)

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