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: https://uni-sydney.zoom.us/j/7812717331 
Meeting ID: 781 271 7331 

Speaker: Libo Li (UNSW) 
Title: Strong approximation of the alpha-CEV and alpha-CIR
process 
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
jumps.  

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

Kind regards, 

Anna