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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
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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]
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