Department of Systems Engineering and Engineering Management,

                    The Chinese University of Hong Kong


Drift and Volatility Estimation - a Weak Markov Approach

Professor Allanus Tsoi,
Mathematics Department,
University of Missouri-Columbia

Date : December 21, 2005 (Wednesday)

Time : 5:30 a.m. - 6:30 p.m.

Venue : Room 513, William M.W. Mong Engineering Building

(Engineering Building Complex Phase 2), CUHK

We consider a discrete time price process whose dynamics follows a log-
normal. The drift and volatility of the price are driven by a hidden weak
Markov chain with memory order
M≥1. We give Wonham type filter estimates of
some functionals of the hidden chain, which include the transition
probabilities, occupation times, and number of jumps from one particular
state to another within a fixed time interval. An expectation maximization
algorithm is involved.

Prof. Tsoi obtained his Ph.D. at the University of Albert in 1990, under the
guidance of Robert J. Elliott. He was a faculty member of the Mathematics
Department at HKUST during the period 1991-2000. In 2001 he joined the
Department of Mathematics at the University of Missouri, where he is
currently an associate professor. His research interests include
mathematical finance, white noise theory, stochastic filtering and control.


                       ***** ALL ARE WELCOME *****

Host : Prof. X.Y. Zhou
Tel : 26098320
Email : xyzhou@se.cuhk.edu.hk

For more information please

refer to http://www.se.cuhk.edu.hk/~seg5810/