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8b5 -- Statistical Topics in Quantitative Finance |
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July 8 (Monday), 3:30 -- 5:30 p.m., IM 1st FL, Conference RM |
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| Organizer: Cheng-Der Fuh (Academia Sinica, Taiwan, R.O.C.) | ||
| Chair: Inchi Hu (Hong Kong University of Science and Technology, Hong Kong) | ||
| 3:30 p.m. | A New Approach to Pricing and
Hedging Options with Transaction Costs, Tze Leung Lai (Stanford University, U.S.A.; Co-author: Tiong-Wee Lim) |
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| 4:00 p.m. | Inverse Problems for
Lévy
Processes and Nonparametric Calibration of Jump-diffusion Option Pricing
Models, Rama Cont (Princeton University, U.S.A.; CNRS - Ecole Polytechnique, France; Co-authors: P. Tankov) |
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| 4:30 p.m. | Volatility Modeling and Forecasting
Using High-frequency Data, Ruey S. Tsay (University of Chicago, U.S.A.) |
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| 5:00 p.m. | The Autoregressive Logit Regime
Switching Model and Its Applications to Financial Data, Ching-Fan Chung (Academia Sinica, Taiwan, R.O.C.; Co-author: C.-K. Hsieh) |
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