Probability & Statistics Group Heidelberg-Mannheim

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


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.


Leif Döring (Mannheim), Claudia Strauch (Heidelberg)