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Computer-intensive methods in statistical inference and mathematical finance: asymptotic theory and implementation

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The study of computer-intensive methods is a major challenge in statistical inference today. This project concentrates on inference for models of high complexity, including non- and semi-parametric models, as well as models for complex data such as stochastic processes, curves and images. Particular attention will be given to likelihood-based inference and to resampling methodologies. Theoretical aspects as well as computer implementation will be investigated.

This investigation will be combined with research in modern mathematical finance theory on the properties of bond and stock options in financial markets. This is a topic of considerable importance, from both a theoretical and an applied point of view. Statistical considerations are of increasing importance here.

The tools from probability theory that are needed for both parts of this research program are remarkably similar. The project is concerned with limit theorems and related second-order approximations, stochastic search and stochastic analysis.

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Koordinator

Rijksuniversiteit Leiden
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Adresse
Niels Bohrweg 1
2300 RA Leiden
Niederlande

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Beteiligte (6)

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Letzte Aktualisierung: 19 September 1996

Mein Booklet

Permalink: https://cordis.europa.eu/project/id/INTAS-94-4194/de

European Union, 2024