제목:Moment Explosions and Stationary Distributions in Affine Diffusion Models

강사: Kyoung-Kuk Kim Ph.D. Candidate, Graduate School of Business, Columbia University

장소: 산경동 3221호 세미나실

요약: Many of the most widely used models in finance fall within the affine family of diffusion processes. The affine family combines modeling flexibility with substantial tractability, particularly through transform analysis; these models are used both for econometric modeling and for pricing and hedging of derivative securities.  We analyze the tail behavior, the range of finite exponential moments, and the convergence to stationarity in affine models, focusing on the class of canonical models defined by Dai and Singleton (JF, 2000). We show that these models have limiting stationary distributions and characterize these limits.  We show that the tails of both the transient and stationary distributions of these models are necessarily exponential or Gaussian; in the non-Gaussian case, we characterize the tail decay rate for any linear combination of factors.  Our results follow from an investigation into the stability properties of the systems of ordinary differential equations  associated with affine diffusions.
피초청자 : Kyoung-Kuk Kim
피초청자 소속 : Columbia University
초청자 : 강완모