[grads] [Sem-coll] AM Colloquium, monday, Feb 22

Igor Cialenco igor at math.iit.edu
Sat Feb 20 16:31:59 CST 2010


Dear All, 

You are kindly invited to the lecture by Prof. Viktor Torodov (Kellogg School of Management, Northwestern University), that will take place on Monday, 02/22/2010,  on the main campus of the Illinois Institute of Technology.
The lecture will start at 4:40 pm in the Engineering 1 building, room E1-106. Refreshments will be served before the talk in E1-112. 


Title: The Realized Laplace Transform of Volatility
Abstract: We introduce a new measure constructed from high-frequency financial data which we call the Realized Laplace Transform of volatility. The statistic provides a nonparametric estimate for the empirical Laplace transform of the latent stochastic volatility process over a given interval of time. When a long span of data is used, i.e., under joint long-span and fill-in asymptotics, it is an estimate of the volatility Laplace transform. The asymptotic behavior of the statistic depends on the small scale behavior of the driving martingale. We derive the asymptotics both in the case when the latter is known and when it needs to be inferred from the data. When the underlying process is a jump-diffusion our statistic is robust to jumps and when the process is pure-jump it is robust to presence of less active jumps. We apply our results to simulated and real financial data. 

22 February, 2010, 4:40 pm
IIT Main Campus, Bld Engineering One,  Room 106,  

  
Best regards,
 Igor Cialenco                          

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Illinois Institute of Technology
Department of Applied Mathematics
10 W 32nd Str, E1 234C
Chicago, IL 60616

Phone:  312.567.3131
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