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Extreme times in finance

Presented by: 
J Masoliver Universitat de Barcelona
Wednesday 28th June 2006 - 11:30 to 12:30
INI Seminar Room 1

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.

University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons