Workshop on

Statistical Inference for Lévy Processes with Applications to Finance

 July 15 - 17, 2009

Summary

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.

This workshop may be considered as the 4th in a series of workshops dedicated to Lévy processes and their applications in Mathematical Finance. The previous workshops are:

1. Applications of Lévy Processes in Financial Mathematics; EURANDOM, Eindhoven, The Netherlands, June 22 - 23, 2001

2. Exotic Option Pricing under Advanced Lévy Models; EURANDOM,  Eindhoven, The Netherlands, May 3 - 4, 2004

3. Credit Risk under Lévy Models; ICMS, Edinburgh, The United Kingdom, September 19 - 21, 2006

Organizers

Chris Klaassen, Universiteit van Amsterdam & EURANDOM, (c.a.j.klaassen'at'uva.nl)
Shota Gugushvili, EURANDOM, (gugushvili'at'eurandom.tue.nl)
Peter Spreij, Universiteit van Amsterdam, (spreij'at'uva.nl)

With special thanks and acknowledgement for the contributions of the following sponsors:

Last updated 14-jul-2009,
By PK

• Speakers & Participants

• Programme & Abstracts

• Registration

• Organizers 

• Practical Information

Speakers

Yacine Aït-Sahalia (Princeton University, Princeton)
Markus Reiß (Humboldt-Universität Berlin)
Valentine Genon-Catalot (Université René Descartes- Paris 5, Paris
Nick Bingham (Imperial College, London)
Ernst Eberlein (University of Freiburg, Freiburg)
Alexander Szimayer (Rheinische Friedrich-Wilhelms-Universität, Bonn)
Rama Cont (Columbia University, New York)
José Manuel Corcuera (Universitat de Barcelona, Barcelona)
Fabienne Comte (Université René Descartes- Paris 5, Paris)
Mark Podolskij (ETH Zürich)
Antonis Papapantoleon (Technische Universität Berlin)

Registration

There is no closing date for the registration, but the number of places is limited.

• For academia there is no registration fee.
   

• For non-academia the registration fee is 750 Euros*
  
  * lunches and the workshop dinner are included.

TO REGISTER, PLEASE FILL IN THE FORM

Practical Information 

Conference Location
The workshop location is EURANDOM, Den Dolech 2, 5612 AZ Eindhoven, Laplace Building, 1st floor, LG 1.105.

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

Hotel
For the invited speakers Hotel Queen is reserved. Please indicate your arrival and departure dates on the registration form.

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.

Lunches/dinner
On all three days free lunches are offered to the participants. Please indicate your attendance on the registration form. On Wednesday evening there will be a workshop dinner. Indicate your attendance on the registration form. For non-invitees an amount of 35 Euros is requested, to be paid at the registration desk in cash (preferably an exact amount in Euros).

Contact
For more information please contact Mrs. Lucienne Coolen, the workshop officer of EURANDOM, at coolen'at'eurandom.tue.nl

  P.O. Box 513, 5600 MB  Eindhoven, The Netherlands
tel. +31 40 2478100  fax +31 40 2478190  
  e-mail: mailto:office@eurandom.tue.nl