Meeting Time: Every other Wednesday, 9:30 - 11:00 AM (US EASTERN) starting 10/5/05
Location: NISS building, Room 203

Almost all our work will be electronic over the Internet. Participants should be able to see the presentations on their own local computers and talk in by telephone if they wish to participate in the discussions.

Remote access for the meeting is available:

• Via webcam -- See instructions (pdf)
• Via teleconference at 919-685-9338 not earlier than 9:40 am
  • International callers dial "[access code] + 1" first (e.g. for Europe, [access code] = 00)

Note: Until we can get the needed bandwidth, equipment, etc. for broadcasting meetings via a webcam, SAMSI will be employing the following process for remote participation in working groups. A webcam picture will be available for viewing during the meetings. However, for audio, participants will have to call into the conference line.

Presentation:

• Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models
  • Paper (pdf)
  • Slides (pdf)

Related Paper:

• Econometric Analysis of Jump-Driven Stochastic Volatility Models
  • Paper (pdf)

• An Overview of a Nonparametric Estimation Method for Levy Processes
  • Paper (pdf)
  • Slides (pdf)

Presentation:

• Time-Changed Levy Processes and Option Pricing by Peter Carr and Liuren Wu
  • Journal of Financial Economics, January 2004, Vol. 71 No. 1, pp. 113-141
  • Slides (pdf)

Related Presentations:

• Stochastic Skew Models for FX Options
  • Slides (pdf)
• Option Pricing Using Integral Transforms
  • Slides (pdf)

Presentation:

• Hedging Options in Presence of Jumps
  • Paper (pdf)
  • Slides (pdf)

 Presentation:

• Jump Detection in Finance
  • Paper (pdf)
  • Slides (pdf)