An Isaac Newton Institute Workshop

First-Passage and Extreme Value Problems in Random Processes

Extreme times in finance

27th June 2006

Author: Masoliver, J (Universitat de Barcelona)

Abstract

We analyze the problem of extreme events for financial time series and models. The approach will be different according the nature of the data available. This means that for high-frequency data a micoscopic approach (for which the continuous tuime random walk is a good candidate) is needed; while for lower frequency data one can rely on the traditional approach based on diffusion equations.