Jozsef Gall: On some statistical inference in HJM forward rate models

Pozor, tokratnje predavanje bo ob 14:15.

V četrtek, 21. maja 2015, ob 14:15 bo v predavalnici 3.06 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 v Ljubljani potekalo predavanje prof. dr. Jozsefa Galla (University of Debrecen) z naslovom On some statistical inference in HJM forward rate models.

Povzetek predavanja: We consider Heath-Jarrow-Morton type of forward interest rate models in different settings, where we shall assume and use an arbitrage free family of bond prices associated with the rates. We discuss some results on the behaviour of parameter estimations, in particular on the volatility and some statistical tests related with the models including some change point detection ones.