Particle methods and their applications to finance
Calibration of option pricing models
Time series models
Robustness of calibration methods and model reliability.
Research in Finance has led to the development of an impressive array of models for pricing derivatives securities. The underlying diffusion processes must be calibrated to historical or market implied data, and it is clear that the efficient and robust calibration of these models remains a challenge.
The goal of this workshop is to bring together academics and practitioners in the field of Finance and Signal Processing, to investigate how some new techniques in the domain of Signal Processing can be applied to the calibration of financial models.
A related topic of interest is the assessment of model reliability, and the definition of an appropriate measure of such reliability.
Theme and Format
The theme of the workshop is deliberately broad in scope. The workshop will schedule presentations, with ample time for questions, as well as time for informal follow-up discussions.
Specific Areas of Study
Model calibration in quasi real-time, robust calibration in the presence of erroneous or incomplete data
« Hybrid calibration, » combining historical and market-implied information.
Particle methods and nonlinear filters, and application to finance
Non stationarity and non gaussianity
Organizing and scientific committee