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CATEGORIES:Finance - Centre for Financial Research
SUMMARY:Robust calibration of models in finance - Professo
r Josef Teichmann (ETH University of Zurich)
DTSTART;TZID=Europe/London:20130305T170000
DTEND;TZID=Europe/London:20130305T180000
UID:TALK43763AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/43763
DESCRIPTION:We introduce a calibration concept for models in m
athematical finance which uses information from ti
me series and derivatives' prices simultaneously\,
namely to estimate model parameters being invaria
nt under equivalent measure changes from time seri
es data. Additionally these calibration procedures
are less complex\, more stable and allow for mode
l rejection. For the estimation of invariant param
eters we propose Fourier analysis inspired estimat
ors due to some remarkable properties.\n\nJoin Pro
fessor Josef Teichmann for wine and canapes in the
Centre for Mathematical Sciences after the semina
r.\n\nJosef Teichmann is Professor for Mathematica
l Finance at ETH Zurich. He holds a PhD on Global
Analysis from Vienna University. For more than ten
years he has been working in mathematical Finance
in\, e.g.\, term structure problems or computatio
nal aspects of finance.\nThe seminar is sponsored
by Cantab Capital Partners.\n\n\nPlease RSVP to: a
nne.lawrence@cantabcapital.com if you wish to atte
nd.
LOCATION:CMS\, MR4
CONTACT:HoD Secretary\, DPMMS
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