Mini-Workshop on Statistics of Stochastic Processes
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
- Claudia Strauch (Heidelberg): On nonparametric adaptive estimation for diffusions in higher dimension
Program
| 9.15-10.00 | Ben Alaya |
| 10.00-10.45 | Barczy |
| 10.45-11.15 | coffee break |
| 11.15-12.00 | Kebaier |
| 12.00-12.45 | 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)