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Registration and coffee |
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Welcome |
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Wolfgang Wefelmeyer (Siegen): Root n consistent density estimation |
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Anders Tolver Jensen (Copenhagen): Estimation of intensity parameters in a Cox process |
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Break |
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Valentine Genon-Catalot (Paris): Leroux's method for general hidden Markov models |
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Lunch |
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Arnak Dalalyan (Paris): Asymptotic statistical equivalence for ergodic diffusions |
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Shota Gugushvili (Amsterdam): A kernel type nonparametric density estimator for decompounding |
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Break |
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Hiroki Masuda (Tokyo): On mixing bounds for Markovian stochastic differential equations with jumps |
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Dominique Dehay (Paris): On likelihood estimation for a discretely observed Markov jump process |
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Break |
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Tommi Sottinen (Padua): Representations of Gaussian bridges |
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Niels Richard Hansen (Copenhagen): The maximum of a random walk reflected at a general barrier |
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Markus Reiss (Berlin): Estimating the delay length in affine SDDEs |
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Roland Fried (London): Graphical Models for Events in Time Series |
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Network meeting |
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Break |
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Anders Rahbek (Copenhagen): Asymptotic Inference for Non-Stationary GARCH(1,1) |
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Céline Jost (Helsinki): Deconvolution of fractional Brownian motion on [0,1] |
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Lunch |
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Antonis Papapantoleon (Freiburg): Pricing of some exotic options in Levy models |
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Esko Valkeila (Helsinki): Information in pricing models: Bayesian revisit |
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Break |
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Alessandro Platania (London): Tick Data Modelling |
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Jan Bergenthum (Freiburg): Comparison of option prices in semimartingale models |
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Break |
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Danilo Mercurio (Berlin): Estimation of time dependent volatility via local change point analysis |
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Raouf Ghomrasni (Cartagena): Some developments and applications of local time-space calculus |
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Michael Nussbaum (Cornell University): Asymptotic equivalence of spectral density estimation and Gaussian white noise |
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Emmanuel Gobet (Paris): LAMN property with non-Markovian observations from diffusion process |
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Frank van der Meulen (Amsterdam): Non-parametric inference for Levy driven Ornstein-Uhlenbeck processes |
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Break |
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Yuji Sakamoto (Hiroshima): Asymptotic expansions of discriminant functions for small diffusion processes |
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Denis Belomestny (Berlin): Evaluation of American options for generalized Black-Scholes model using consumption processes |
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Jean Jacod (Paris): Estimation for
a multiplicative parameter in the presence of jumps |