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- Universiteit van Amsterdam; EURANDOM European Institute for Statistics, Probability, Stochastic Operations Research and its Applications

Dates:July 15-17, 2009
Description:Statistical Inference for L̩vy Processes with Applications to Finance
Location:Eindhoven, EURANDOM, campus of Technische Universiteit Eindhoven, Netherlands
Subject:This workshop may be considered as the 4th in a series of workshops dedicated to L̩vy processes and their applications in Mathematical Finance. Recent years have witnessed great interest in financial models based on L̩vy processes as possible alternatives to the traditional Black-Scholes model of financial markets. An appealing feature of models based on L̩vy processes is their ability to reproduce important stylized features of financial time series. Moreover, there exists a well-developed mathematical (probabilistic) theory for L̩vy processes. As any stochastic model, a financial model based on a L̩vy process depends on various parameters (finite, or possibly infinite-dimensional). Estimation of these parameters, or, in financial terminology, calibration of the model to the available data, is of critical importance to successful applications of these models in practice. This is a new and challenging area of statistical research. The workshop aims to contribute to the development of this area and will bring together leading researchers in the field. They will overview recent progress achieved in inference methods for L̩vy processes, identify problems of interest and outline future research directions. Inverse statistical problems, regularisation techniques, semi- and nonparametric statistics, are expected to play a major role. The workshop is also of interest to researchers active in other fields of applications of L̩vy processes. [gem_ den Informationen des Anbieters - according to site editor's information]
JEL Code:C
URL:http://www.iac.rm.cnr.it/amamef/

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