Affine Processes: theory, numerics and applications to Finance
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Fri, 21/01/2011 14:15 |
Prof Josef Teichmann (ETH Zurich) |
Nomura Seminar  |
DH 1st floor SR |
| We present theory and numerics of affine processes and several of their applications in finance. The theory is appealing due to methods from probability theory, analysis and geometry. Applications are diverse since affine processes combine analytical tractability with a high flexibility to model stylized facts like heavy tails or stochastic volatility. | |||