Abstract

We introduce a calibration concept for models in mathematical finance which uses information from time series and derivatives’ prices simultaneously, namely to estimate model parameters being invariant under equivalent measure changes from time series data. Additionally these calibration procedures are less complex, more stable and allow for model rejection. For the estimation of invariant parameters we propose Fourier analysis inspired estimators due to some remarkable properties.

Join Professor Josef Teichmann for wine and canapes in the Centre for Mathematical Sciences after the seminar.

Josef Teichmann is Professor for Mathematical 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 computational aspects of finance. The seminar is sponsored by Cantab Capital Partners.

Please RSVP to: anne.lawrence@cantabcapital.com if you wish to attend.