Some New Developments of Quantitative Finance: Nonparametric Method
2003/12/12
研討會日期 : 2003-12-12
時間 : 15:00
主講人 : Prof. Zongwu Cai
地點 : B棟110室
演講者簡介 : Prof. Zongwu Cai為Ph.D. in Economics, University of California, Davis。
現為Associate Professor of Mathematics，University of North Carolina at Charlotte。
主要研究領域為計量經濟學。
演講摘要 : In this talk, I will survey and assess on the recent developments of quantitative finance: in particular, nonparametric methods in finance such as in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, nonparametric pricing of derivatives, stochastic volatility models, high frequency data models, and capital asset pricing models. For each financial context, I will discuss the suitable statistical concepts, models, and modeling procedures, as well as some of their applications to financial data. Their relative strengths and weakness are discussed. Much theoretical and empirical research is needed in this area, and more importantly, I will outline several aspects that deserve further investigation, which are hopefully useful for graduate students and young researchers
