Dear colleague
Please see below details of a cemmap masterclass by Ilya Molchanov
(University of Bern). Full information and booking instructions are on
the cemmap website: http://www.cemmap.ac.uk/masterclasses.php?event_id=698
There is also a workshop following this class, 20 April 2012: New
developments in the use of random sets in economics
(http://www.cemmap.ac.uk/conferences.php?event_id=737). This workshop is
free of charge; please email [log in to unmask] to reserve your place.
Many thanks,
Bonnie
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Random sets in economics - a cemmap masterclass by Ilya Molchanov
(University of Bern)
18-19 April 2012, UCL Economics Department
Theoretical material will be presented along with describing the
following applications.
- Partially identified models appearing if the available data do not
suffice to uniquely identify the parameter of interest, even if the
sample size grows. Possible reasons for this are interval responses in
regression models or multiple equilibria in games. Using random sets, it
is possible to come up with an adequate mathematical framework that
makes it possible to unify a number of special cases and come up with
new results.
- In finance it is possible to represent the range of prices (which are
always non-unique in case of transaction costs or more generally
incomplete markets) as random sets. In the univariate case, this set is
a segment with end-points being bid and ask prices. The no-arbitrage
property of the dynamic model with discrete time is closely related to
the existence of martingales that evolve inside the set-valued process.
These applications will appear frequently in the course in order to
illustrate the relevant mathematical concepts.
The course will be accompanied by exercises (these do not require a
computer).
For further information and booking information please see the cemmap
website: http://www.cemmap.ac.uk/masterclasses.php?event_id=698
Best wishes
Bonnie
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