Oberwolfach-Seminar Stochastic Modelling and Statistics in Finance

Stochastic Modelling and Statistics in Finance; with Applications

Ole E. Barndorff-Nielsen, Aarhus; Friedrich Hubalek, Vienna; Neil Shephard, Oxford; Jeannette H.C. Woerner, Oxford
Subjects:: Recent developments in mathematical finance, connected to the much improved access to data from the financial markets and to the widely recognised shortcomings of the initially proposed models for the movements of financial series, has led to a strong emphasis on more realistic modelling. The lectures will discuss some of the ensuing mathematical results, their empirical background, and various applications.
Additional Lectures:: Ernst Eberlein, Freiburg: Levy driven interest rate theory
Prerequisites:: Familiarity with basics of probability and statistics.
Schedule:

	Monday	Tuesday	Wednesday	Thursday	Friday
09:00-09:50	Ole E. Barndorff-Nielsen: Introduction, Levy-Processes	Ole E. Barndorff-Nielsen: Stochastic Volatility 1	Neil Shephard: Returns - Empirics	Neil Shephard: Power variation - empirics	Friedrich Hubalek: Multivariate extension, multi-asset options
10:00-10:50	Ole E. Barndorff-Nielsen: Levy bases, OU-Processes	Ole E. Barndorff-Nielsen: Stochastic Volatility 2	Jeannette Woerner: Power variation, theory 1	Friedrich Hubalek: Derivatives(Pricing Theory)	Ernst Eberlein: Levy driven interest rate theory I
11:00-11:50	Jeannette Woerner: Distributions	Friedrich Hubalek: Time changes	Jeannette Woerner: Power variation, theory 2	Friedrich Hubalek: Derivatives Pricing (Numerics)	Ernst Eberlein: Levy driven interest rate theory II
12:30-13:30	Lunch	Lunch	Lunch	Lunch	Lunch
13:30-17:00	Relax/study	Relax/study	Schwarzwald walk	Relax/study	Relax/study
17:00-18:00	Tutorials	Tutorials		Tutorials
18:30-19:30	Dinner	Dinner	Dinner	Dinner	Dinner