skip to primary navigationskip to content

Cantab CF evening seminar - Professor Josef Teichmann, ETH University, Zurich

When Mar 05, 2013
from 05:00 PM to 06:00 PM
Where Centre for Mathematical Sciences, Cambridge University, Room MR2
Contact Name
Add event to calendar vCal

Robust calibration of models in finance.

We introduce a calibration concept for models in mathematical finance which uses information from time series and derivatives' prices simulatenously, namely to estimate model parameters being invariant under equivalent measure changes from time series data. Additionally these calibration procedures are less complex, more stable and allow for model rejection. For the estimation of invariant parameters we propose Fourier analysis inspired estimators due to some remarkable properties.

Join Professor Josef Teichmann for wine and canapes in the Centre for Mathematical Sciences after the seminar.

Josef Teichmann is Professor for Mathematical Finance at ETH Zurich. He holds a PhD on Global Analysis from Vienna University. For more than ten years he has been working in mathematical Finance in, e.g., term structure problems or computational aspects of finance.

The seminar is sponsored by Cantab Capital Partners.

Please RSVP to: if you wish to attend.

« January 2021 »

RSS Feed Latest news

CERF Scholarship competition 2021 - Now Open

Nov 18, 2020

For the seventh year, Cambridge Endowment for Research in Finance is offering a scholarship scheme. Applications are invited for doctoral funding starting in October 2021. Funding is for up to 3 years and includes university and college fees and an allowance for accommodation and living expenses.

View all news