[FIRM] FIRM T am 18.1.2008

[Stefan Theussl]

Liebe Kolleginnen und Kollegen,

Das nächste FIRM Treffen findet am 18.1.2008
- zur gewohnten Zeit (14.00)
- im Seminarraum des Instituts für Informationswirtschaft
statt.

Inhaltlich hat es eine Änderung gegeben, da wir an diesem Tag einen 
Kollegen aus Italien, Stefano Iacus, zu Gast haben. Der ursprünglich 
angekündigte Vortrag von Sabri Pllana konnte auf den 7.3. verschoben werden.

Titel das Vortrags von Stefano Iacus:
  Simulation and inference for stochastic differential equations
  (Abstract am Ende dieses Mails)


Weiters zur Erinnerung, heute wird ein interessanter Vortrag am 
Department für Statistik und Mathematik (Seminarraum) zu hören sein, wo 
wir auch Sie recht herzlich dazu einladen möchten:

Vortragender: Damir Filipovic
Titel: Non-Monotone Risk Measures and Monotone Hulls

Mit freundlichen Grüßen,
Stefan Theussl


Abstract:

Stochastic differential equations SDEs are used to model continuous 
time phenomena appearing in many disciplines including finance,  
biology,  ecology, the social sciences, etc.
In this talk we consider one dimensional SDEs driven by standard Brownian
motion. We start with a quick review on  simulation schemes for SDEs. These
schemes are needed in the study of random dynamical systems like in
population dynamics,  numerical option pricing in finance, etc.
    While inference for SDEs with continuous time observation is a long
studied field, only recently the interest of the scientific community
focused on discrete time  observations. The boost of this growing interest
has been ignited by the increasing availability of high frequency data, e.g.
from finance.
Unfortunately, the likelihood function for these data is almost never
available in explicit form and, moreover, different sampling schemes are
possible. We review different approaches to both likelihood and
non-likelihood inference for discretely observed SDEs. In particular we will
discuss pseudo-likelihood and approximate-likelihood methods, estimating
functions, generalized method of moments, non parametric estimation and
model selection.

-- 

Mag. Stefan Theussl
Department of Statistics and Mathematics

Vienna University of Economics and Business Administration
Augasse 2-6, 1090 Wien, Austria
Phone: +43 1 31336 5057	      
Email: stefan.theussl at wu-wien.ac.at