Probabilistic and Statistical Properties of Stochastic Volatility Models (11rit160)


(University of Ottawa)

(Universite Paris Nanterre)


The Banff International Research Station will host the "Probabilistic and Statistical Properties of Stochastic Volatility Models" workshop from September 4th to September 11th, 2011.

Financial data have features which cannot be captured by classical time series. One of such features is so-called heteroskedasticity. To model this phenomena, Robert Engle introduced ARCH models. His work was rewarded with the Nobel Prize in Economics (2003). The model has been well understood. However, recently many other complicated models have been proposed. The goal of this research is to understand probabilistic structure of these models and provide practitioners guidelines how to use them.

The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).