Topic: Learning via submartingales
Date: March 1st.
Topic: Estimation of Brownian Volatility in Noise
Date: Feburary 22nd
" Stochastic Calculus Applied to Finance. Black-Scholes Model"
The objective of the presentation is to introduce major objects
and
techniques required to understand the most widely used financial
models.
We will describe the dynamics of security pricing in stock
markets and
concentrate on option pricing. The Black-Scholes model where we
can
derive an explicit price of a European call option will be presented.
Date: Janury 25th, Feburary 1st
Topic: Study of association in bivariate current status data.
Abstract:
Current status data, also called interval censored data, case II, contains only information whether a failure happened or not at a random monitoring time. This type of data arise commonly in many studies of epidemiology, biomedicine, demography and reliability. While in its univariate setting, the estimation of the failure time distribution has been studied extensively, there has not been much research in the bivariate setting. When there are two failure times, say for example, development of hytertension and heart attack, we would like study the relationship between them. Nonparametric approach would not work here because of nonidentifiablity. A semiparametric approach was proposed to study the association between the two failure time variables.
Date: Janury 11th
1999
Link to topics in 1998