OS Stochastische Analysis Detailseite Kalender

Vortragende Person/Vortragende Personen:
Prof. Dr. Sonja Cox (University of Amsterdam, Niederlande)

Abstract: I will first briefly explain what an affine stochastic process is. Such processes have received a considerable amount of attention in the past years due to their tractability and (relative) flexibility. For example, in 2011 Cuchiero, Filipovic, Mayerhofer, and Teichmann provided a characterization of all affine processes taking values in the cone of non-negative semi-definite matrices. The motivation for doing so was to construct tractable finite-dimenstional stochastic volatility models. Our goal was to obtain similar infinite-dimensional stochastic volatility models. To this end, we established existence of affine processes in the cone of positive self-adjoint Hilbert-Schmidt operators. In my talk, I will discuss the details of our result, the challenges of the infinite-dimensional setting, and some open questions. The talk concerns joint work with Sven Karbach and Asma Khedher.