JEAN JACOD, Université de Paris VI - Laboratoire de Probabilités Estimation of volatility using high-frequency data: a review and some recent developments. Tuesday, April 16 2013, at 14:00 precise Politecnico di Milano, Dipartimento di Matematica - Aula Consiglio VII piano |
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Abstract
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Estimation of the integrated volatility (or, quadratic variation of the continuous martingale
part) of Itò semimartingales which are discretely observed at n points is a central topic in
financial statistics. In this talk I will give an overview of the topic, and also indicate some
of the recent developments, concerning the case where the underlying process has jumps.
The focus will be on efficient estimation procedures. |
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LUDMIL KATZARKOV, Fakultaet fuer Mathematik, Universitaet Wien STABILITY CONDITIONS AND DYNAMICAL SYSTEMS Monday, April 08 2013, at 17:00 Università di Milano, Dipartimento di Matematica, Via Saldini |
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PAVEL KREJCI, Institute of Mathematics, Academy of Sciences of the Czech Republic ELASTOPLASTIC BODIES IN DYNAMIC CONTACT
Wednesday, March 06 2013, at 17:00 Politecnico di Milano, Dipartimento di Matematica |
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JOHN D. BARROW, University of Cambridge SIMPLICITY AND COMPLEXITY
Workshop: Mathematics in a Complex World
on the occasion of 150th year of Politecnico di Milano Friday, March 01 2013, at 09:00 Politecnico di Milano | |
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PETER A. MARKOWICH, KAUST, Jeddah APPLIED PARTIAL DIFFERENTIAL EQUATIONS
Workshop: Mathematics in a Complex World
on the occasion of 150th year of Politecnico di Milano
Friday, March 01 2013, at 10:15 Politecnico di Milano | |
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CEDRIC VILLANI, Université Lyon and Institut Henri Poincaré Paris OF TRIANGLES GAS, PRICE AND MEN
Workshop: Mathematics in a Complex World
on the occasion of 150th year of Politecnico di Milano Friday, March 01 2013, at 12:00 Politecnico di Milano | |
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