[FAM-news] reminder for upcoming seminars and talks

Sandra Trenovatz sandra at fam.tuwien.ac.at
Mon Feb 20 10:23:58 CET 2017

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)
    "2EPT": Financial modelling using random variables
     with rational characteristic function"

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


IME 2017

21st International Congress on
Insurance: Mathematics and Economics
IME Educational Workshop

July 3-5 & 6-7, 2017, Vienna, Austria



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