***FIRST ANNOUNCEMENT***
Workshop on Statistical Inference for Lévy Processes with Applications to
Finance
Date: July 15-17, 2009
Location: EURANDOM, Eindhoven, The Netherlands
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.
Invited speakers: Yacine Aït-Sahalia (Princeton University, Princeton),
Markus Reiß (Universität Heidelberg, Heidelberg), Christian Houdré (Georgia
Institute of Technology, Atlanta), 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), Helyette Geman (University of London,
London), José Manuel Corcuera (Universitat de Barcelona, Barcelona), Antonis
Papapantoleon (Vienna University of Technology, Vienna), Fabienne Comte
(Université René Descartes- Paris 5, Paris), Rama Cont (Columbia University,
New York).
Registration: The registration is now open. There is no closing date for the
registration, but the number of places is limited. There is no registration
fee for academia. To register, please visit the workshop website at
http://www.eurandom.tue.nl/events/workshops/2009/Levy_processes/index.htm
Participants will be given the opportunity to present short talks on their
own research.
Organisers: Chris Klaassen (Universiteit van Amsterdam & EURANDOM), Shota
Gugushvili (EURANDOM) and Peter Spreij (Universiteit van Amsterdam).
For more information please visit the workshop website at
http://www.eurandom.tue.nl/events/workshops/2009/Levy_processes/index.htm
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