Seminar series
Date
Thu, 06 Feb 2014
Time
16:00 -
17:30
Location
L2
Speaker
Mike Tehranchi
Organisation
Cambridge
There are many financial models used in practice (CIR/Heston, Vasicek,
Stein-Stein, quadratic normal) whose popularity is due, in part, to their
analytically tractable asset pricing. In this talk we will show that it is
possible to generalise these models in various ways while maintaining
tractability. Conversely, we will also characterise the family of models
which admit this type of tractability, in the spirit of the classification
of polynomial term structure models.