London Mathematical Finance Group
London Mathematical Finance Group 

LGS course programme: April - June 2017

MF3 Time Changes in Asset Price and Volatility Modelling

Lecturer: Dr. Helyette Geman, Birkbeck

Time and dates:


The first two lectures will be on April 26 and May 4
The first lecture : 12:00 Wed April 26 Birkbeck Room 722
The second lecture : 12:00 on May 4; room 722 at Birkbeck 7th floor
The last lecture: 12:00 on May 31 at Birkbeck, room 745



Course summary:

a) Present from a mathematical standpoint Stochastic Time Changes and Subordination

b) Explain the representation of price returns as time-changed BM under No Arb and use this expression to uncover new processes. The example of the CGMY Levy process

c) Use time changes to introduce stochastic volatility outside SDEs

d) High Frequency Trading and Time changes

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London Mathematical Finance Group: 2016-17