Seminar

Department of Systems Engineering and Engineering Management,

The Chinese University of Hong Kong

Title:

Drift and Volatility Estimation - a Weak Markov Approach

Speaker:

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

Abstract:

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.

Bio:

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/

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