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SUMMARY:Robust calibration of models in finance - Professor Josef Teichman
 n (ETH University of  Zurich)
DTSTART:20130305T170000Z
DTEND:20130305T180000Z
UID:TALK43763@talks.cam.ac.uk
CONTACT:HoD Secretary\, DPMMS
DESCRIPTION:We introduce a calibration concept for models in mathematical 
 finance which uses information from time series and derivatives' prices si
 multaneously\, namely to estimate model parameters being invariant under e
 quivalent measure changes from time series data. Additionally these calibr
 ation procedures are less complex\, more stable and allow for model reject
 ion. For the estimation of invariant parameters we propose Fourier analysi
 s inspired estimators due to some remarkable properties.\n\nJoin Professor
  Josef Teichmann for wine and canapes in the Centre for Mathematical Scien
 ces after the seminar.\n\nJosef Teichmann is Professor for Mathematical Fi
 nance at ETH Zurich. He holds a PhD on Global Analysis from Vienna Univers
 ity. For more than ten years he has been working in mathematical Finance i
 n\, e.g.\, term structure problems or computational aspects of finance.\nT
 he seminar is sponsored by Cantab Capital Partners.\n\n\nPlease RSVP to: a
 nne.lawrence@cantabcapital.com if you wish to attend.
LOCATION:CMS\, MR4
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