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RSFAS Seminar | Dr Kevin Lu

RSFAS Seminar | Dr Kevin Lu

Calibration of multivariate Levy-driven Ornstein-Uhlenbeck processes

Dr Kevin Lu, RSFAS, ANU

Available to CBE staff and HDRs only.

Based on recent results on self-decomposability of weakly subordinated Levy processes, we construct Levy-driven Ornstein-Uhlenbeck processes using a weakly subordinated process as the driving noise or as the time-marginal distribution. Such processes have applications in the financial modelling of stationary series. Specifically, we will discuss the theory of Levy-driven Ornstein-Uhlenbeck processes and study calibration for the stationary solution of these processes based on discrete-time observations.

Updated:   25 May 2020 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team