SMS scnews item created by Anna Aksamit at Fri 12 Jun 2020 1142
Type: Seminar
Distribution: World
Expiry: 19 Jun 2020
Calendar1: 16 Jun 2020 1400-1500
CalLoc1: zoom
Auth: (aaks9559) in SMS-WASM

Stochastics and Finance: Libo Li -- Strong approximation of the alpha-CEV and alpha-CIR process

Dear All, 

You are kindly invited to attend the next Stochastic and Finance seminar. On Tuesday
June 16 at 2pm Libo Li (UNSW) will give a Zoom talk.  
Zoom link: 
Meeting ID: 781 271 7331 

Speaker: Libo Li (UNSW) 
Title: Strong approximation of the alpha-CEV and alpha-CIR
Abstract: We propose a positivity-preserving implicit numerical scheme for
jump-extended Cox-Ingersoll-Ross (CIR) process and Constant-Elasticity-of-Variance (CEV)
process, where the jumps are governed by a compensated spectrally positive alpha-stable
Levy process for alpha in (1, 2).  This class of models have first been studied in the
context of continuous branching processes with interaction and/or immigration, and in
this class a model has been introduced to mathematical finance for modelling sovereign
interest rates and the energy market.  Numerical schemes for jump-extended CIR and CEV
processes, to the best of our knowledge, have all focused on the case of finite activity

Kind regards,