********* UCL STATISTICS SEMINAR ********
All are welcome
Please see our web page for details of further seminars and how to find us:
www.ucl.ac.uk/stats/research/journals.html
The last seminar of term is today, 11th December at 4 p.m., Room 102, 1-19
Torrington Place, Department of Statistical Science - University College
London
Speaker: Dr Rudiger Kiesel, LSE
Semi-parametric modelling in finance.
Abstract:
The benchmark theory of mathematical finance is the
Black-Scholes-Merton theory, based on Brownian motion as the
driving noise process for stock prices. Here the distributions of
financial returns of the stocks in a portfolio are multivariate
normal. The two most obvious limitations here concern symmetry
and thin tails, neither being consistent with real data. The most
common replacement for the multinormal is parametric, the Barndorff-Nielsen
generalized hyperbolic family. Here we advocate the use of
semi-parametric models. A generalization of the hyperbolic family
involves normal variance-mean mixtures. We work mainly within the
family of elliptically contoured distributions, focussing
particularly on normal variance mixtures with self-decomposable
mixing distributions. Implementation is considered:
we present simulation studies, and fit our model to several
financial data series, and discuss aspects of riskmanagement.
Dr Andrew Copas
Lecturer in Medical Statistics & MSc Admissions Tutor
Departments of Statistical Science & Sexually Transmitted Diseases
University College London
[log in to unmask] & [log in to unmask]
|