Oberwolfach Seminar: Stochastic Modelling and Statistics in Finance; with Applications

Date:

October 19th - 25th, 2003

Deadline for applications:

September 15, 2003

Organisers:

Ole E. Barndorff-Nielsen, Aarhus

Friedrich Hubalek, Vienna

Elisa Nicolato, Aarhus

Neil Shephard, 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. Please, also take a look at the homepage of F. Hubalek.

Prerequisites:

Familiarity with basics of probability and statistics.