Workshop on Financial Time Series, Lévy Processes, Stochastic Volatility, and Applications of Shot Noise ProcessesMay 22-23, 2001 Vienna University of TechnologyFor detailed maps click on the locations, once you found the building Paul Lévy will lead you to the lecture rooms. Tuesday, May 22, 2001: Morning Session
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10.45-11.30 | Ole E. Barndorff-Nielsen, Aarhus University: | Lévy based chronometers |
11.30-12.15 | Elisa Nicolato, Vienna University of Technology: | On multivarate extensions of Ornstein-Uhlenbeck type stochastic volatility models |
12.15-14.30 | Lunch break |
14.30-15.15 | Sergei Levendorskii, Rostov State University: | Regular Lévy processes of exponential type and Feller processes of normal inverse Gaussian type (joint with O.E.Barndorff-Nielsen) | |
15.15-15.45 | Coffee/tea | ||
15.45-16.30 | Robert Tompkins, Vienna University of Technology: | The sampling properties of a moment matching method | |
16.30- | Discussion |
09.30-10.15 | Franz Konecny, BOKU (University of Agricultural Sciences), Vienna | Jump Diffusion Models for Streamflow Series |
10.15-10.45 | Coffee/tea | |
10.45-11.30 | Sylvia Frühwirth-Schnatter, Leopold Sögner, Vienna University of Economics and Business Administration: | MCMC estimation of the Barndorff-Nielsen-Shephard stochastic volatility model |
11.30-12.15 | Omiros Papaspiliopoulos, Lancaster University: | Bayesian inference for Non-Gaussian OU SV processes |
12.15-14.30 | Lunch break |
14.30-15.15 | Neil Shephard, Nuffield College, Oxford: | Realised volatility and SV models: some more results | |
15.15-15.45 | Coffee/tea | ||
15.45-16.30 | Claudia Klueppelberg, University of Technology, Munich: | Optimal portfolios when stock prices follow a Lévy process | |
16.30- | Discussion |
The workshop is supported by the Austrian Science Foundation (FWF) under grant SFB#10 ('Adaptive Information Systems and Modelling in Economics and Management Science').
URL: http://www.fam.tuwien.ac.at/g2g/
Last Modification: May 17, 2001
(fhubalek)