News

Seminario: “The Oscillating Brownian motion: estimation and application to volatility modeling”

Martedì 26 Settembre 2017, ore 14:15 10:30 - Aula 2AB45 - Paolo Pigato

ARGOMENTI: Seminari

Martedì 26 Settembre 2017 alle ore 14:15 10:30 in Aula 2AB45, Paolo Pigato (WIAS, Berlino) terrà un seminario dal titolo: “The Oscillating Brownian motion: estimation and application to volatility modeling”.

Abstract
We consider a continuous time stochastic process which exhibits a regime-switch in the dynamics accordingly to a certain threshold. This process is solution to a stochastic differential equation with piecewise constant coefficients. We introduce and analyze estimators for the diffusion coefficient, the drift coefficient, and the threshold level. We use this process as a local volatility model for financial indices, that we test on time series of daily prices of several assets, finding evidence of leverage effect (negative correlation between prices and volatilies) and of mean-reversion effects in the dynamics of the prices.

NEWS: Sciopero dei docenti e svolgimento degli esami - L'eventuale astensione riguardera' il primo appello d'esame programmato nel periodo 28 agosto - 31 ottobre 2017. X