2018年度

Math-Fi seminar on 20 Sep.

2018.09.18 Tue up
  • Date: 20 Sep. (Thu.)
  • Place: W.W. 6th-floor, Colloquium Room
  • Time: 16:30-18:00
  • Speaker: Libo Li (University of New South Wales)
  • Title: On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
  • 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 compensated spectrally positive alpha-stable process for alpha belonging to (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.
 

コメントは受け付けていません。