金融大数据分析技术团队学术报告

时间:2018-08-13浏览:309设置

金融大数据分析技术团队学术报告
报告时间:2018年8月17日10:00-11:00
报告地点:理科大楼A1701
报告题目: Positivity preserving schemes for alpha-cir process
报 告 人:Dr. Li Libo (School of Mathematics & Statistics, University of New South Wales)
Abstract: We propose a positivity preserving implicit Euler-Maruyama scheme for a jump-extended Cox-Ingersoll-Ross (CIR) process where the jumps are governed by a compensated spectrally positive α-stable process for α∈(1,2). Different to the existing positivity preserving numerical schemes for jump-extended CIR or CEV models, the model considered here has infinite activity jumps. We calculate, in this specific model, the strong rate of convergence and give some numerical illustrations. Jump extended models of this type were initially studied in the context of branching processes and was recently introduced to the financial mathematics literature to model sovereign interest rates, power and energy markets.

返回原图
/