You are here


Affine processes in finance: Numerical approximation, simulation and model properties

Kyoung-Kuk Kim, 2008
Faculty Advisor: Paul Glasserman


This thesis deals with theoretical and numerical questions related to affine jumpdiffusion

models used in finance. In more detail, we look at three different classes within

the affine jump-diffusion class.

The first is the Heston stochastic volatility model which has been used extensively since

its first introduction by Heston (1993). To price financial derivatives with complex payoff

structures, we have to resort to the Monte Carlo simulation. We propose new simulation

schemes for the Heston model based on the squared Bessel bridge decomposition. These

new methods perform well in different parameter settings and they are compared with two

other existing methods, first, the exact scheme of Broadie and Kaya (2006) and, second, the

QE method of Andersen (2005).

The second question is about the tail behavior of the canonical affine diffusion processes

which were introduced by Dai and Singleton (2000) in the context of financial econometrics

to study the term structure of interest rates. We show that the canonical models have light

tails or exponential bounded tails, and the explicit conditions that guarantee light tails are

given. Moreover, we prove that there exists a uniqte limiting stationary distribution for

each canonical model and the regions of finite exponential moments of such stationary

distributions are determined by the stability region of the dynamical system associated

with a given model.

Download Dissertation

Application Deadlines

Master of Science in Marketing >

For Fall 2016 Entry:

Available: August 1st, 2015
Deadline: January 4th, 2016


Master of Science in Financial Economics >

For Fall 2016 Entry:

Available: August 1st, 2015
Deadline: January 4th, 2016


Master of Science in Management Science and Engineering >

For Fall 2016 Entry:
To be determined


Available 8/1/15
Sept 2016

Deadline: 01/05/16

MS Marketing
Deadline: 01/04/16

MS Financial Economics
Deadline: 01/04/16


Doctoral Program News

Young Alumni Balseiro wins George B. Dantzig Dissertation Award

At the 2014 Informs national meeting, Santiago Balseiro was honored for his work in "Competition and Yield Optimization in Ad Exchanges". We congratulate Santiago on his accomplishment.

Read More Here

Ethan Rouen wins Deloitte Doctoral Fellowship in Accounting

The Deloitte Foundation has awarded $25,000 grants to 10 top accounting Ph.D. candidates through the Deloitte Foundation’s annual Doctoral Fellowship program. Given to students who plan to pursue academic careers upon graduation, the award will support the 2015 recipients’ final year of coursework and the subsequent year to complete their doctoral dissertation.

Read More Here

Honigsberg featured in Ideas at Work

The August issue of Ideas at Work features research that doctoral candidate Colleen Honigsberg led in conjunction with Sharon Katz.

Read More about Colleen

Wazlawek featured in Ideas at Work

Abbie Wazlawek's joint research with Professor Daniel Ames is featured in the June 24th, 2014 edition of Ideas at Work

Read More about Abbie

Ethan Rouen featured in Ideas at Work

Ethan Rouen's joint research with Professor Dan Amiram is featured in the May 15th, 2014 edition of Ideas at Work

Read More about Abbie

Rivas Wins Fellowship

The PhD program is proud to congratulate Miguel Duro Rivas, who was awarded the Nasdaq Educational Foundation Doctoral Dissertation Fellowship.

Read More about Miguel

Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

Read More About Yu Ting >

The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

Read More About John >

Honigsberg Named Postdoctoral Fellow

The PhD program is proud to congratulate Colleen Honigsberg, who was named the Postdoctoral Fellow in Corporate Governance at the Millstein Center at Columbia Law School in October 2013

Read More about Colleen >


Check Application Status

Students listening to classroom lecture

Once you've submitted your application, you can login and track your status by using the link below.

Check Status