Department of Mathematics

Speaker: Ionut Florescu
Title: Stochastic Volatility Models and Applications
Affiliation: Stevens Institute of Technology
Date: Friday, January 27, 2012
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

Abstract. In this talk we will discuss several problems related to modeling data using stochastic volatility models. I will briefly present why these models are appropriate to use in finance, how they may be approximated, and the option pricing problem via approximating the solution of resulting partial integro-differential equations. I will then focus on the problem of coefficient estimation in a particular case when the stochastic volatility process is a hidden Markov chain. Several applications will be presented including to analysis of climate and geophysical data. This talk is based on several of my papers with a particular focus on my research in the area.