Graduate Students
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

Probability and Computational Finance Seminar
Tetsuya Ishikawa
Carnegie Mellon University
Title: Affine Processes and Large Deviation Principle (LDP)

Abstract: Affine processes are an important class of stochastic processes which naturally arise in mathematical finance. In this talk, we will first see that a short rate model with affine structure provides us with an analytically tractable way of computing bond prices. This observation then leads us to the precise definition of affine processes based on their characteristic function. Although general affine processes may jump and/or explode, we will restrict our attention to affine diffusion processes for further analysis. In particular, it will be shown that all affine diffusion processes in the canonical space have to be, roughly speaking, a mixture of CIR and OU type processes. Using this fact, we will finally address the possibility of Freidlin-Wentzell type LDP for affine diffusion processes in the canonical space under a very weak assumption.

Date: Monday, November 26, 2012
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Scott Robertson