“Stochastics
and Dependence in Finance, Risk Management, and Insurance”
Exploratory seminar
The Radcliffe Institute for Advanced
Study at
Slideshow by Murad Taqqu
Seminar
outline
The analysis of modern financial and economic time series
presents a number of significant challenges due to complexity of the models and
data faced by researchers. Many standard statistical and econometric methods
turn out to be unreliable in the presence of distributional and dependence
properties exhibited by the data in real financial markets. The core idea of
the seminar is to focus on the development of robust approaches to modeling and
inference for complex data sets in finance, risk management, and insurance. The
discussions in the seminar will center on modeling dependence over time and
across space, the analysis of dependence and distributional properties in
financial and economic time series, and the study of their implications for
models in economics, finance, and risk management. This area of research is
inter-disciplinary. The proposed seminar will bring together leading experts
and newly arising scholars in multi-disciplinary fields: finance, economics,
statistics, and probability. One of its main goals is to push the boundaries of
recent advances in statistics, econometrics, and economics to gain better
understanding of financial markets.
Location: Room 112, The Radcliffe
Institute for Advanced Study at
Participants:
Jose Blanchet (Dept. of Statistics,
Xiaohong Chen (Dept. of Economics,
Yingying Fan (Dept. of Statistics,
Matthew Harding (Dept. of Economics,
Rustam Ibragimov (Dept. of Economics,
Dwight Jaffee (Haas School of Business,
Claudia Kluppelberg (Center for Mathematical Sciences, Munich University of Technology, cklu@ma.tum.de)
Thomas Kurtz (Dept. of Mathematics,
Yoonjung Lee (Dept. of Statistics,
Jinchi Lv (Marshall School of Business,
Juri Marcucci (Bank of Italy, juri@sssup.it)
Xiao-Li Meng (Dept. of Statistics,
Richard Zeckhauser (John F. Kennedy School of Government, Harvard University, richard_zeckhauser@harvard.edu)
Johan Walden (Haas School of Business, University of California at Berkeley, walden@haas.berkeley.edu)
Yong Zeng (Dept. of Mathematics and Statistics, University of Missouri at Kansas City, zeng@mendota.umkc.edu),
Organizers:
Yoonjung Lee (Dept. of Statistics, Harvard University, ylee@stat.harvard.edu), Rustam Ibragimov (Dept. of Economics, Harvard University, ribragim@fas.harvard.edu), Xiao-Li Meng (Dept. of Statistics, Harvard University, meng@stat.harvard.edu)
Schedule and slides for presentations
11/09/07 (Friday)
|
8:15-8:45 |
Breakfast |
|
8:45-9:00 |
Opening
Remarks |
|
9:00-10:00 |
Presentations:
Zeckhauser and Jaffee |
|
10:00-10:15 |
Break |
|
10:15-11:15 |
|
|
11:15-11:30 |
Break |
|
11:30-12:15 |
Group
Discussion Sessions: Recent Advances in the Areas of the Seminar |
|
12:15-1:30 |
Lunch |
|
1:30-3:00 |
Presentations:
Kluppelberg, Chen, and Blanchet |
|
3:00-3:15 |
Break |
|
3:15-4:30 |
Group
Discussion Sessions: Open Problems and Research Projects in Progress |
|
4:30-5:00 |
Summary and
Closing Remarks |
|
6:30-8:30 |
Dinner, The Elephant Walk
Restaurant, 2067 Massachusetts Ave., Cambridge, MA; Phone: (617) 492-6900 |
11/10/07 (Saturday)
|
8:30-9:00 |
Breakfast |
|
9:00-10:00 |
Presentation: Kurtz and
Zeng |
|
10:00-10:15 |
Break |
|
10:15-11:15 |
|
|
11:30-12:15 |
Group Discussion Sessions: Open Problems and Research Projects in
Progress |
|
12:15-1:30 |
Lunch |
|
1:30-3:00 |
|
|
3:00-3:15 |
Break |
|
3:15-4:30 |
Group Discussion Sessions: Challenges and Directions of Future
Research and Collaboration |
|
4:30-5:00 |
Concluding Remarks |
|
6:30-8:30 |
Dinner, Yen Ching Restaurant, 1326 Massachusetts Ave., Cambridge, MA;
Phone: (617) 547-1130 |