北京大学数量经济与数理金融教育部重点实验室学术报告——A CBI Process Approch to Financial Modelling
报告人：Prof. Ying Jiao (University of Lyon 1)
Abstract: We propose and investigate the so-called α-CIR model, which is a generalization of the well-known Cox-Ingersoll-Ross model with α-stable Levy jumps. By adopting the framework of continuous-state branching processes with immigration (CBI), we explain why this approach provides a realistic and parsimonious way to describe some recent phenomenons observed on financial markets such as the low interest rate on the sovereign bond market and the clustering effect on the energy market. This talk is based on joint works with Chunhua Ma (Nankai University), Simone Scotti (Universite Paris Diderot - Paris 7) and Carlo Sgarra (Politecnico di Milano).
Bio: Ying Jiao is a professor of applied mathematics at Institute of Financial and Insurance Sciences, University of Lyon in France. Her research interests include mathematical finance, the general theory of processes and enlargement of filtrations, and stochastic control and optimization.