Workshop: Advanced Modeling in Finance and Insurance
Time: Mon, September 22, 2008, 09:30-10:20
Speaker: Ole E. Barndorff-Nielsen
Abstract
BSS models and Intermittency/Volatility
The concept of Brownian Semistationary (BSS) processes is introduced. This class can be seen as the analogue of Brownian semimartingales in the context of stationarity related settings. The concept has arisen out of a major study of turbulence, aiming at realistic modelling of 'free' turbulence in fluids. But BSS processes have potential for application in many other areas. General properties of BSS processes will be discussed and their relevance in turbulence outlined, in particular as regards inference on the intermittency, a turbulence concept closely analogous to volatility in finance. Finally, some speculative thoughts about the possible usefulness of the BSS framework in finance will be mentioned.
Presentation slides (pdf, 642 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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