Affine Models in Finance
Affine processes constitute an important class of continuous time stochastic models that are widely used in finance and econometrics due to their modeling flexibility and computational/analytical tractability. This class of models include affine jump-diffusions (AJDs) and affine point processes (APPs). Examples of AJDs include the Ornstein-Uhlenbeck (OU) process (i.e. the Vasicek model), the square-root diffusion process, (i.e. the Cox-Ingersoll-Ross model), and the Heston stochastic volatility model, all of which are classical models in dynamic asset pricing. On the other hand, examples of APPs include the Hawkes process and its multidimensional extensions, which was applied in credit risk modeling and has lately found important applications in high-frequency trading.
Xiaowei Zhang
Associate Professor
My research research focuses on methodological advances in stochastic simulation and optimization, decision analytics, and reinforcement learning, with applications in service operations management, financial technology, and digital economy.
