- Date: 24 Jun. (Thu.)
- Place: On the Web
- Time: 16:30 – 18:00
- Speaker: Maria Elvira Mancino (University of Florence)
- Title: Volatility and higher order covariances estimation for identifying financial instability conditions and computing hedging Greeks
- Abstract:
I would present the most recent papers with Simona, both of them use the same mathematical instruments for different applications. Further, it is based on some ideas presented in the paper with Malliavin “”Harmonic analysis methods for nonparametric estimation of volatility: theory and applications””. In Proceedings of the International Symposium “Stochastic Processes and Applications to Mathematical Finance” 2005 at Ritsumeikan University, World Scientific (2006). Eds. J.Akahori, S.Ogawa, S.Watanabe.
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