Mini-Workshop on Statistics for Stochastic Processes 2016

Speakers and Titles

  • Mohamed Ben Alaya (Paris): Improved adaptive Multilevel Monte Carlo and applications to finance
  • Matyas Barczy (Debrecen): Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
  • Ahmed Kebaier (Paris): Maximum likelihood estimation for Wishart processes
  • Andreas Neuenkirch (Mannheim): Discretizing the Heston Model: An Analysis of the Weak Convergence Rate

Program

9.15-10.00 Mohamed Ben Alaya
10.00-10.45 Matyas Barczy
10.45-11.15 coffee break
11.15-12.00 Ahmed Kebaier
12.00-12.45 Andreas Neuenkirch

Practical Information

Date: November 30th, 2016

Venue: University of Mannheim, A5, C116, 10 min walking distance from the train station, link to google maps.

Organizers

Leif Döring (Mannheim), Claudia Strauch (Heidelberg)

Support

The workshop is supported by the research training group "Statistical modeling of complex systems and processes".