Seminari di Probabilità e Finanza Matematica: “Gaussian processes that are generalized quasi-helices and their properties” + “Toward Quantifying Model Risk”

Martedì 31 Maggio 2016, ore 14:30 - Sala Riunioni VII Piano - Yuliya Mishura + Erik Schloegl


Martedì 31 maggio 2016 in Sala Riunioni VII Piano si terranno i seguenti seminari nell'area di Probabilità e Finanza Matematica.

14:30 Yuliya Mishura (Taras Shevchenko National University of Kyiv)
“Gaussian processes that are generalized quasi-helices and their properties”
We consider several problems for Gaussian processes which are, in some sense, the generalizations of fractional Brownian motion. Three problems are considered: the behavior of the maximal functionals, the representation results and some statistical results. We investigate the asymptotic behavior of maximal functionals under critical values of the parameters of the corresponding quasi-helix, give the representations of the random variables via the integration w.r.t. Gaussian processes and explain how to construct and investigate unknown drift parameter estimators in the SDE involving the general Gaussian processes.

15:30 Erik Schloegl (University of Technology Sydney)
“Toward Quantifying Model Risk”
As a paper by the Board of Governors of the Federal Reserve System put it in 2011, “The use of models invariably presents model risk, which is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports.” However, there has been surprisingly little research to date on quantifying this risk, or putting the analysis of this risk on a more rigorous footing. This presentation discusses four types of model risk encountered when using models for the pricing and risk management of derivative financial instruments, and the relationship (and potential trade-offs) between them. Secondly, we consider how one would go about implementing the “relative entropy” approach to model risk suggested by Glasserman and Xu (2013) in this context, and how this may affect modelling choices in practice.