JEAN JACOD, Université de Paris VI - Laboratoire de Probabilités
Estimation of volatility using high-frequency data: a review and some recent developments.
Martedì 16 Aprile 2013, ore 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
Lunedì 08 Aprile 2013, ore 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
Mercoledì 06 Marzo 2013, ore 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
Venerdì 01 Marzo 2013, ore 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
Venerdì 01 Marzo 2013, ore 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
Venerdì 01 Marzo 2013, ore 12:00
Politecnico di Milano | |
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