Seminar: Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits
1264 主 题：Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits
时 间：2018年11月26日（周一）下午15:00-16:30
地 点：浙江大学玉泉校区44118太阳成城集团418会议室
主讲人：Dr. Zhenyu Cui
主办方：44118太阳成城集团
主讲人简介：Dr. Zhenyu Cui, is currently an assistant professor in financial engineering at the School of Business of Stevens Institute of Technology. His research interests lie in stochastic models and optimization methods in financial engineering, risk management and operations research. His work has appeared in leading academic journals, including European Journal of Operational Research, Journal of Economic Theory, Journal of Economic Dynamics and Control, Mathematical Finance, Finance and Stochastics, Journal of Financial Econometrics, and Journal of Banking and Finance.
Abstract：In this talk, we investigate the pricing and weak convergence of an asymmetric non-affine, non-Gaussian GARCH model when the risk neutralization is based on a variance-dependent exponential linear pricing kernel with stochastic risk aversion parameters. The risk-neutral dynamics are obtained for a general setting and its weak limit is derived. We show how several GARCH diffusions, martingalized via well-known pricing kernels, are obtained as special cases and we derive necessary and sufficient conditions for the presence of financial bubbles. An extensive empirical analysis using both historical returns and options data illustrates the advantage of coupling this pricing kernel with non-Gaussian innovations.
