Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
The Use of Evolutionary Algorithms to Estimate Jump-Diffusion Models of Equity Markets
Submitted by jlongwor on Thu, 02/12/2009 - 2:13pm.
Feb 26 2009 - 12:00pm
Feb 26 2009 - 12:50pm
Speaker:
John Sheriff, Department of Mathematics, University of Lethbridge
Location:
MS 325The use of Levy processes and related models is an attractive option in mathematical finance due to their ability to more accurately capture observed market behavior. However, this comes at the price of
greater complexity and the associated challenge of fitting a more complex model to market data. One approach to meeting this challenge is to employ evolutionary algorithms, an iterative procedure that relies upon mutation, propagation, and selection to estimate important model parameters. The talk will address the use of such algorithms in the context of fitting jump-diffusion models to market data.
greater complexity and the associated challenge of fitting a more complex model to market data. One approach to meeting this challenge is to employ evolutionary algorithms, an iterative procedure that relies upon mutation, propagation, and selection to estimate important model parameters. The talk will address the use of such algorithms in the context of fitting jump-diffusion models to market data.