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Statistical Inference for LÚvy Processes with Applications to Finance
July 15 - 17, 2009
Recent years have witnessed great interest in financial models based on LÚvy processes as possible alternatives to the traditional Black-Scholes model of financial markets. An appealing feature of models based on LÚvy processes is their ability to reproduce important stylized features of financial time series. Moreover, there exists a well-developed mathematical (probabilistic) theory for LÚvy processes. As any stochastic model, a financial model based on a LÚvy 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 LÚvy 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 LÚvy processes.
This workshop may be considered as the 4th in a series of workshops dedicated to LÚvy processes and their applications in Mathematical Finance. The previous workshops are:
1. Applications of LÚvy Processes in Financial Mathematics; EURANDOM, Eindhoven, The Netherlands, June 22 - 23, 2001
2. Exotic Option Pricing under Advanced LÚvy Models; EURANDOM, Eindhoven, The Netherlands, May 3 - 4, 2004
3. Credit Risk under LÚvy Models; ICMS, Edinburgh, The United Kingdom, September 19 - 21, 2006
Universiteit van Amsterdam & EURANDOM,
With special thanks and acknowledgement for the contributions of the following sponsors:
Yacine A´t-Sahalia (Princeton University,
There is no closing date for the registration, but the number of places is limited.
TO REGISTER, PLEASE FILL IN THE FORM
EURANDOM is located on the campus of "Technische Universiteit Eindhoven" in the Laplace building (marked with LG on the map). The building is at 15 minutes walking distance from the Eindhoven railway station (take the northern exit and walk in the north-eastern direction until you reach a crossing at Fellenoord. The campus is located on the other side of that street).
For travel information to Eindhoven, please check http://www.eurandom.tue.nl/contact.htm
For participants, there is a possibility to stay at Sandton Hotel Eindhoven City Centre (a reduced rate of 89 Euros* is applicable). Please indicate your arrival and departure date on the registration form.
For private bookings we suggest consulting the webpage of VVV Eindhoven.
* single room, breakfast included, excluding the tourist tax 3,50 Euro per night.
P.O. Box 513, 5600 MB
Eindhoven, The Netherlands