經濟學系講座: Characteristic Function-based Factor Modelling of Affine Jump Diffusions Using Options
講者: Herman Peter BOSWIJK教授, Professor of Financial Econometrics and Vice-Dean / Chair, Amsterdam School of Economics, University of Amsterdam
日期：16/10/2024(三)
時間：14:00 – 15:15
地點: E21B-G002
語言: 英語
內容: We develop a framework to analyse affine jump diffusions using factor modelling techniques, offering a novel method to study which and how many risk factors drive the price process of a single asset. We use information contained in options to construct observations on the characteristic function of the returns on the underlying asset, without having to specify a parametric model. We show how to form a linear factor model out of these observations. Our asymptotic framework is one in which the number of observed options, of varying strikes, tends to infinity. We prove asymptotic normality of the factor model, and provide a feasible central limit theorem which can be used for testing. In addition, we prove that diagnostic criteria based on the eigenvalues of the sample covariance matrix of the constructed factor model are able to consistently estimate the number of factors, and that principal component analysis is able to extract these factors. An empirical application suggests that the main factor driving the S&P 500 returns is a stochastic variance process, which explains 97% of the variation in the factor model.
