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SUMMARY:Unspanned Stochastic Volatility in Multi-Factor CIR Models
DTSTART:20150701T140000
DTEND:20150701T150000
DTSTAMP:20260509T052445Z
UID:bf81749329acfa8a13883ef52400c58ee20e9c4eb6c69df0faf2f170
CATEGORIES:Conferences - Seminars
DESCRIPTION:Francesco STATTI (Master Student\, Mathematics Department\, ET
 HZ)\nEmpirical evidence suggests that fixed income markets exhibit unspann
 ed stochastic volatility (USV)\, i.e. that one cannot fully hedge volatili
 ty risk solely using a portfolio of bonds. One of the basic models for the
  term structure of interest rates is the multi-factor Cox-Ingersoll-Ross (
 CIR) model\; however\, it is not known whether this model admits USV. This
  master thesis attempts to answer the question: Is it possible to construc
 t a multi-factor CIR model which admits USV? So far some partial results h
 ave been obtained\, which will be discussed in this talk.
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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