[grads] [Sem-coll] Applied Math Colloquium/Math Finance Seminar Monday, February 26, 4:40pm Per Mykland

[Robert Ellis]

Please join us for the following colloquium which is joint with the 
Mathematical Finance seminar series.  Coffee and snacks will be served 
5-10 minutes prior.

Monday, Feb 26, 4:40pm E1 106

Speaker: 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.

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