Submitted by jlongwor on Thu, 09/15/2011 - 11:30am.
Sep 16 2011 - 3:00pm
Sep 16 2011 - 3:50pm
Speaker:
Professor Eckhard Platen (School of Finance and Economics & School of Mathematical Sciences, University of Technology, Sydney, Australia)
Location:
MS 431
In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The presentation builds on the recent monograph of the presenter co-authored with Bruti-Liberati.
Submitted by jlongwor on Wed, 06/24/2009 - 3:54pm.
Jun 29 2009 - 2:00pm
Jun 29 2009 - 2:50pm
Speaker:
Alok Gupta, Mathematical & Computational Finance Group, Oxford University
Location:
MS 431
The general calibration
problem in financial models is considered. We reformulate the problem
into a Bayesian framework to attain posterior distributions for
calibration parameters. We show that, for any continuous and bounded
loss function, the corresponding Bayesian estimator is
consistent. Finally we work through numerical examples to clarify the
construction of Bayesian posteriors and its uses. The main focus is on
the local volatility model.
