Markov-modulated Affine Processes

Beschreibung

We introduce Markov-modulated affine processes, a class of stochastic processes that emerge from affine processes by allowing some of their coefficients to be a function of an exogenous Markov process. Our proposed extension preserves the tractability of affine processes and allows for richer models in various financial applications. We prove existence of Markov-modulated affine processes via a martingale problem approach. Our framework unifies and generalizes a number of established models. On top of that, we introduce novel models, which are capable of capturing empirical features of financial data that are not explainable by means of standard affine processes, but are at the same time easy to calibrate.

Zeitraum	15 Okt. 2020
Ereignistitel	Vienna Seminar in Mathematical Finance and Probability
Veranstaltungstyp	Keine Angaben
Bekanntheitsgrad	National