Affine processes in the cone of positive Hilbert-Schmidt operators: a volatility model

par Sonja Cox (Amsterdam)

jeudi 12 mars 2020, 14:00 → 15:00 Europe/Paris

Salle de Séminaires (Orléans)

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)