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