Seminar series
Date
Fri, 21 Jan 2011
14:15
14:15
Location
DH 1st floor SR
Speaker
Prof Josef Teichmann
Organisation
ETH Zurich
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.