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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Long-term Behaviors and
Implied Volatilities for General Affine Diffusions |
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Speaker |
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Prof. Kyoung-Kuk Kim |
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Department of
Industrial and Systems Engineering |
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Korea Advanced
Institute of Science and Technology(KAIST) |
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Date |
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Sep. 10th, 2010 (Friday) |
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Time |
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4:30 p.m. - 5:30 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
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For the past several
years, studies on affine processes have been worked out by many researchers
about moment explosions, implied volatilities, and long-term behaviors.
Recently, Glasserman and Kim, and Keller-Ressel investigated the moment
explosions of the canonical affine models of Dai and Singleton, and general
two-factor affine stochastic volatility models, respectively, and presented
their long-term behaviors. On the other hand, Benaim and Friz, and Lee showed
that implied volatilities at extreme strikes are linked to the moment
explosions of stock prices at given option maturities. In this work, we
characterize the regions in which moment explosions happen for some time or
at a given time, and relate them to the long-term behavior of stock prices and
to implied volatilities, extending previous works on moment explosions for
affine processes. |
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Biography:
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Dr. Kim is
currently an assistant professor in the department of Industrial and Systems
Engineering at Korea Advanced Institute of Science and Technology (KAIST for
short). After graduating from Seoul National University, Mathematics, he
studied at Stanford University, Mathematics, and Columbia University,
Graduate School of Business, obtaining MS and PhD degrees, respectively. His
employment history includes associate positions at Lehman Brothers and
Barclays Capital, and J.E. Marsden Postdoctoral Fellow at the Fields
Institute in |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Chen Nan |
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Tel |
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(852) 2609-8237 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
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Website |
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