Archive for finance

my [homonym] talk this afternoon at CREST [Paris-Saclay]

Posted in pictures, Statistics, University life with tags , , , , , , , on March 4, 2019 by xi'an

Christian ROBERT (Université Lyon 1) « How large is the jump discontinuity in the diffusion coefficient of an Itô diffusion?”

Time: 3:30 pm – 4:30 pm
Date: 04th of March 2019
Place: Room 3105

Abstract : We consider high frequency observations from a one-dimensional diffusion process Y. We assume that the diffusion coefficient σ is continuously differentiable, but with a jump discontinuity at some levely. Such a diffusion has already been considered as a local volatility model for the underlying price of an asset, but raises several issues for pricing European options or for hedging such derivatives. We introduce kernel sign-constrained estimators of the left and right limits of σ at y, but up to constant factors. We present and discuss the asymptotic properties of these kernel estimators.  We then propose a method to evaluate these constant factors by looking for bandwiths for which the kernel estimators are stable by iteration. We finally provide an estimator of the jump discontinuity size and discuss its convergence rate.

five years in Edinburgh

Posted in Kids, Mountains, Travel, University life with tags , , , , , , , on April 12, 2013 by xi'an

Duddingston Loch, Holyrood Park, Edinburgh, September 6, 2011Got an email with this tantalizing offer of a five year postdoctoral position in mathematics at the University of Edinburgh:

Chancellor's Fellowship (five positions) [tenure-track posts at Lecturer or Reader

Applications are invited for up to five Chancellor's Fellowship posts in
Mathematics. Each Fellowship provides a research-focused reduced-teaching position
for up to 5 years, followed immediately by a standard open-ended (ie "tenured")
lectureship or readership post.

Applicants should have research interests in any area of:

Applied and Computational Mathematics
Financial Mathematics
Mathematical Physics
Operational Research
Pure Mathematics

One of the positions will be specifically dedicated to algebra (Representation
Theory, very broadly conceived).

Applicants will have a research record of the highest calibre, exhibiting the
potential to become an international leader. We welcome candidates whose interests
may also reach out to other disciplines.

Appointment will normally be made on the Lecturer scale, £37,382 - £44,607.
Dependent on experience, and in exceptional circumstances, appointment may be to
Senior Lecturer/Reader level for which the salary scale is £47,314 - £53,233.

Interviews will be held during May 2013. Applications containing a detailed CV and
an outline of a proposed research programme should be made online