RFE: Conference Listings
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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 Lévy 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 Lévy processes and their applications in Mathematical Finance. Recent years have witnessed great interest in financial models based on Lévy processes as possible alternatives to the traditional Black-Scholes model of financial markets. An appealing feature of models based on Lévy processes is their ability to reproduce important stylized features of financial time series. Moreover, there exists a well-developed mathematical (probabilistic) theory for Lévy processes. As any stochastic model, a financial model based on a Lévy 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 Lévy 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 Lévy processes. [gemäß den Informationen des Anbieters - according to site editor's information] |
| JEL Code: | C |
| URL: | http://www.iac.rm.cnr.it/amamef/ |