[grads] Upcoming Mathematical Finance and Risk Management Seminars at IIT

[Tomasz R. Bielecki]

You are kindly invited to the following Mathematical Finance and Risk Management Seminar at IIT:

Monday, February 26, 4:30 pm, Room E1-106: Per Mykland, University of Chicago

Title: Financial data and the hidden semimartingale model

Abstract:

The availability of high frequency data for financial instruments has 
opened the possibility of accurately determining volatility in small time 
periods, such as one day. Recent work on such estimation indicates that it 
is necessary to analyze the data with a hidden semimartingale model, 
typically by the addition of measurement error. We review the emerging 
theory on this subject, including two- and multiscale sampling. We also 
consider broader error schemes, through Markov kernels and such phenomena 
as rounding due to discreteness of prices. Finally, we discuss the 
possibility of adapting likelihood theory to inference problems of this 
type.

Sincerely,
tom bielecki/
---------------------------------------------------------
      Prof. Tomasz R. Bielecki       
      Applied Mathematics Dept.
      Illinois Institute of Technology
      Engineering 1 Building 
      10 West 32nd Street 
      Chicago, IL 60616
    
      bielecki at iit.edu
      trbielec at yahoo.com
      tel:   (+1)  312 567-3165        
      fax:   (+1) 312 567-3135         

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