A workshop on Mathematics of Financial Risk Management organised by the London Graduate School in Mathematical Finance in association with the Turing Gateway to Mathematics will take place at the Isaac Newton Institute for Mathematical Sciences in Cambridge on 28 March 2013. Speakers will include academics from the London Graduate School in Mathematical Finance and representatives of industry.
More information can be found on the INI website.
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An additional programme of special lectures is offered in the 2012-13 academic session, as follows:
MF10 High frequency statistics for financial data
Professor Jean Jacod, Laboratoire de Probabilités, Université Paris VI
The aim of this course is to provide an overview of the recent developments of statistics, in the context of increasingly available high-frequency data.
The general context is as follows: an underlying process, such as an index, exchange rate, or log price, is observed at discreet times. The process may be multi-dimensional, the observation times may be irregularly space and even random, although in most cases they are regularly spaced. The time span is fixed and the frequency is large. The objective is roughly to get as much information as possible on the underlying process or its law, in an asymptotic sense, when the observation mesh goes to 0.
We will first explain the type of questions which may be answered in such a context (such as estimation of volatility) and those which cannot (such as estimating the drift, or the complete law of jumps).
Next, we study the estimation of volatility (integrated and spot) in the simple case of regularly observed continuous Itô semimartingale and then extend this to various circumstances: process with jumps, irregular spacing, observations with micro-structure noise. In particular, we will spend time about possible modelling of micro-structure noise.
The following step is about jumps: we develop tests for deciding whether there are jumps, or co-jumps between two components of the process, or infinitely many jumps. We will also spend time on the estimation of the jump activity index (or successive indices). If time permits, we also give procedures to estimate the jumps themselves, of a process, or its (unobserved) volatility.
Wednesday 6th February 2013
Thursday 7th February 2013
Wednesday 13th February 2013
Wednesday 20th February 2013
Thursday 21st February 2013
Wednesday 27th February 2013
5pm – 8pm, except 27 February 2013: 5.30pm - 8.30pm
All lectures take place on the LSE campus
Please email Ian Marshall (email@example.com) to express an interest in attending these lectures
Please note that places are very limited
About the London Graduate School in Mathematical Finance
The London Graduate School in Mathematical Finance is a consortium of the mathematical finance groups of Birkbeck College, Brunel University, Imperial College, King's College, LSE and UCL. Its main purpose is to provide a programme of advanced courses in mathematical finance, primarily but not exclusively for first-year PhD students in the various groups. The programme started in October 2006 and continues for its seventh year in October 2012.
A further activity of the School is the organisation of an annual PhD Day at LSE, in which students have the opportunity to present their work. The next PhD Day will take place on Friday 1 March 2013.
For general enquiries and to reserve your place to attend any of the courses offered please contact Ian Marshall, Department of Statistics, LSE.
Please note that the programme is only available to PhD students, post-docs and staff in the constituent groups. It is not available to MSc students or to research students in other subjects.