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

July 15-17, 2009
Statistical Inference for L?vy Processes with Applications to Finance
Eindhoven, EURANDOM, campus of Technische Universiteit Eindhoven, Netherlands
This workshop may be considered as the 4th in a series of workshops dedicated to L?vy processes and their applications in Mathematical Finance. Recent years have witnessed great interest in financial models based on L?vy processes as possible alternatives to the traditional Black-Scholes model of financial markets. An appealing feature of models based on L?vy processes is their ability to reproduce important stylized features of financial time series. Moreover, there exists a well-developed mathematical (probabilistic) theory for L?vy processes. As any stochastic model, a financial model based on a L?vy 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 L?vy 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 L?vy processes. [gem?_?? den Informationen des Anbieters - according to site editor's information]
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