7/02/2020 - 14:00 Mr Simone Scotti (LPSM) Salle 106 - Batiment IMAG
We introduce an affine extension of Heston model, called theα-Heston model, wherethe instantaneous variance process contains a jump part driven byα-stable processes with α∈(1,2]. In this framework, we examine the implied volatility and its asymptotic behaviorsfor both asset and VIX options. Furthermore, we study the jump clustering phenomenon observed on the market. We provide a jump cluster decomposition for the variance process where each cluster is induced by a "mother jump" representing a triggering shock followed by other "children jumps" characterizing the contagion impact.