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=========Apologies for crosspostings =================== Monday 15 November 1999 - 4pm, Room 122, Pearson Building Department of Statistical Science - University College London Speaker : Dr A. Dassios (Statistics-LSE) Title: Quantiles of Levy processes and applications in mathematical finance. Abstract: The study of the quantiles of Levy processes has produced the remarkable result the the distribution of such a quantile can be expressed as a convolution of extremes of independent rescaled copies of the process. We will discuss this result, its application in option pricing and some possible extensions. Useful Web sites: The programme of our statistical seminars is available at: http://www.ucl.ac.uk/Stats/research/journals.html Map with instructions on how to get to our department: http://www.ucl.ac.uk/Stats/map.html Regards, Kostas Skouras ---------------------------------------------------------------------------- --------------- K. Skouras, Lecturer in Statistics, Department of Statistical Science, University College London, Gower Street, London WC1E 6BT, United Kingdom. Tel: 0171-4193652 Fax: 0171-7383 4703 e-mail: [log in to unmask] ---------------------------------------------------------------------------- --------------- %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%