Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik
Prof. Dr. Ole E. Barndorff-Nielsen
Department of Mathematical Science, University of Aarhus, Denmark
Volatility and Power Variation
The term Stochastic Volatility, in its broad sense, expresses the idea that elemental standard deviations - or spot volatilities - of randomly influenced phenomena exhibit values that tend to cluster in time and/or space. Two of the areas where stochastic volatility is of key importance are finance and turbulence (in turbulence stochastic volatility is referred to as Intermittency). Of particular interest are integrals over intervals, or spatial regions, of powers of spot volatility processes, and such integrals may be studied by means of the recently introduced concept of Multipower Variation. The theory of realised multipower variation will be outlined, and applications to finance will be indicated (inference, forecasting, pricing). In finance the underlying framework is that of semimartingales. In turbulence the scene is partly taken by stationary processes that are not semimartingales, and this leads to interesting new questions.
Zur Person: Ole Eiler Barndorff-Nielsen (born 18 March 1935 in Copenhagen) is a renowned Danish statistician, who has contributed to many areas of the statistical science. He became interested in statistics when, as a student of actuarial mathematics, he worked part-time at the Department of Biostatistics of the Danish State Serum Institute. He graduated from the University of Aarhus (Denmark), where he has spent most of his academic life, and where he became professor of statistics in 1973.
Mag. Dr. Klaus Wegenkittl
Dkfm. Dr. Siegfried Sellitsch
o.Univ.-Prof. Dr. Walter Schachermayer
(top of page)
© by Financial and Actuarial Mathematics, TU Wien, 2002-2020 |