------------------------------------------------------------------------ TU Wien, Research Unit Econometrics ------------------------------------------------------------------------ We., 22.2.2017, 14:00, Seminarraum DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow section Bernard Hanzon (Dept. of Mathematics, University College Cork, Ireland) http://euclid.ucc.ie/hanzon/hanzon.htm "2EPT": Financial modelling using random variables with rational characteristic function" Abstract: Exponential-polynomial-trigonometric (EPT) functions form a general class of functions that has a long history (dating back at least to Euler and d'Alembert in the 1740's!), is well-studied and has a lot of nice properties. Here we report on the possibilities it supplies for usage as probability density functions of non-Gaussian random variables in financial modelling. Topics in the talk include: Representation of such functions (using so-called state space realization techniques from linear systems theory); Positivity/non-negativity issues; Extension to probability measures on the real line (2EPT): this will lead to the class of all probability measures on the real line with rational characteristic function; Characterization of the class of infinitely divisible 2EPT probability density functions and corresponding Levy processes and application in Finance and Financial option pricing. If time permits some remarks will be made about the link with related (discrete probability) GPT density functions and their estimation (where maximum likelihood estimation corresponds directly to Kullback-Leibler divergence minimization) and the potential usage for EPT and 2EPT estimation. A large part of this research is based on joint work with Conor Sexton(Barclays London) and Finbarr Holland (UCC). ------------------------------------------------------------------------ VieCo 2017 ------------------------------------------------------------------------ Vienna–Copenhagen Conference on Financial Econometrics March 9-11, 2017, Vienna, Austria http://vieco2017.univie.ac.at/ ------------------------------------------------------------------------ IME 2017 ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics & IME Educational Workshop July 3-5 & 6-7, 2017, Vienna, Austria https://fam.tuwien.ac.at/ime2017/ ------------------------------------------------------------------------