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Canonical Affine Stochastic Volatility Models

发布时间: 2023-09-11
浏览次数: 10

讲座题目: Canonical Affine Stochastic Volatility Models

主讲人:李辰旭教授 (北京大学光华管理学院)



主持和联系人: 王永进教授(财务管理系)          yjwang@nankai.edu.cn

讲座摘要: We propose and implement canonical affine stochastic volatility models (CASVMs), which disentangle the affine structures and economic interpretations for multi-factor stochastic volatility of S&P500 index within affine framework. The factors explicitly consist of salient shape characteristics observable from, and latent ones unspanned by, (term structure of) VIX^2. The latter, termed as USV factors, inherently identify new risk resource(s), that are crucial for reconciling an empirical finding on incompleteness of volatility derivatives market excluding jumps, and more importantly for explaining, e.g., volatility dynamics and derivatives valuation. We demonstrate the substantial convenience in econometric analysis and superior empirical performance of CASVMs. For instance, the empirical results indicate that CASVMs with USV factors significantly outperform their counterparts without USV factors in fitting VIX^2's and squares of implied volatilities of options on VIX futures simultaneously, and, as shown in an example of comparison, improve the performance by 20.58% in sample and 29.38% out of sample. This is the joint work with Yongxin Ye and Xin Zang.

主讲人简介:李辰旭博士,北京大学光华管理学院教授,博士生导师。2004年获中国科学技术大学学士学位,2010年获美国哥伦比亚大学博士学位。致力于金融计量经济学和金融工程学等领域的研究,多项研究成果已发表在国际顶级的金融经济学、计量经济学、运筹学、统计学、数理金融学期刊上,包括Review of Financial StudiesJournal of EconometricsJournal of Business and Economic StatisticsMathematics of Operations ResearchAnnals of StatisticsMathematical Finance等,其中三篇为独立作者发表。曾获由国际工业与系统工程学会(The Institute of Industrial and Systems Engineers)颁发的IIE Transactions运筹学最佳论文奖“2018 Operations Engineering and Analytics Best Paper Award”、全国第七届教育部高等学校科学研究优秀成果奖(人文社会科学)等奖项。