Distinguished Lecture Series 2003

Inverse Problems in Financial Modeling

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Rama Cont

CNRS / Ecole Polytechnique



February 6 - 7, 2003

Location

Deutsche Bank
Unter den Linden 13 / 15
(Eingang Charlottenstrasse)
10117 Berlin

Topics

1. Stylised facts
2. Insights from theory
3. Insights from empirical studies
4. Insights and puzzles related to exotic options
5. Calibration of diffusion models: Theory
6. Calibration of diffusion models: Numerical methods
7. Calibration of jump-diffusion option pricing models
8. Model selection and model risk

Slides

Here you can find slides and papers related to the talks.

Organisation

CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin








Tel: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649
stat@wiwi.hu-berlin.de