Workshop: Concluding Workshop
Time: Tue, December 02, 2008, 10:45-11:15
Speaker: Martin Keller-Ressel
Abstract
We consider a class of asset pricing models, where the risk-neutral joint process of log-price and its stochastic variance is an affine process in the
sense of Duffie, Filipovic, and Schachermayer [2003]. We present results on the long-term behavior of the model, including an expression for the stationary distribution of the stochastic variance process. We also study
moment explosions of the price process, and provide explicit expressions for the
first time a moment of given order explodes. We discuss applications to the asymptotics of the implied volatility smile, which are valid e.g. in the Heston model with
and without additional jumps, a model of Bates and the Barndorff-Nielsen-
Shephard model.
Presentation slides (pdf, 299 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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