[Sem-coll] colloquium: V.Linetsky, Modeling Dependent Jumps: A Multivariate Time Change Approach

Igor Cialenco igor at math.iit.edu
Fri Apr 23 00:37:04 CDT 2010

Dear All, 

You are kindly invited to join the Applied Math department at IIT for the
following Colloquium


Vadim Linetsky, Northwestern University

Title: Modeling Dependent Jumps: A Multivariate Time Change Approach"

Abstract: We show how to construct multi-dimensional Markov processes with
dependent jumps via multivariate time changes, how to solve the resulting
models via the spectral method, and present a range of applications in
credit, equity, and commodity modeling.


Monday, April 26, 4:40 pm, Building Engineering One, Room 106


All are welcome to attend, and refreshments will be served at 4:20pm in E1


Best regards,

       Igor Cialenco


Illinois Institute of Technology

Department of Applied Mathematics

10 W 32nd Str, E1 234C

Chicago, IL 60616

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