seminari Rachev

["Marco Dall'Aglio" <maglio@sci.unich.it>]

Il professor
                         Svetlozar T. RACHEV
                Universita' di Karlsruhe - Germania
                                 e 
               Universita' di Santa Barbara - California

terra' i seguente seminari presso il Dipartimento di Scienze
dell'Universita' 'G. d'Annunzio' di Pescara, Viale Pindaro, 42 -
Pescara.

1' seminario: alle ore 16 del giorno 8 marzo 1999


	MODELING FINANCIAL ASSETS WITH ALTERNATIVE STABLE 
                    DISTRIBUTIONS

Abstract:
After the seminal work of Mandelbrot and Fama, there is no longer 
disagreement among the specialists that the distribution of asset
returns 
has longer tail than normal. In this talk, we provide the fit of stable 
distributions to a variety of data sets showing that the index of 
stability is clearly below 2, and in this way, providing evidence for
the 
heavy-tailed behavior of these data sets. The plan of the talk will be 
as follows:

A.  The Univariate Case

A1.  Modeling asset returns -- recent approaches
A2.  Data:
      (i)   Weekly exchange rates -- 1973-1987 USD -- BF, BP, CD, DG, 
            FF, IL, JY; JY -- USD Daily exchange rates -- 1980-1990.   
      (ii)  Daily S&P 500 Index Returns, 1982-1987
      (iii) Land Prices in Japan -- weekly returns 1981-1989
A3.  The geometric stable model
A4.  Empirical comparison

B.   The Multivariate Case

B1.  Stable and geometric stable portfolios 
B2.  Tail estimators of the index of stability and the spectral 
       measure 
B3.  Estimates of the portfolio risk and covariation
B4.  Example: DM -- USD and JY -- USD

C.   Extensions

C1.  The multivariate case with different indices of stability 
C2.  Stable GARCH model

D.   Stable Laws in Testable Asset Pricing 
D1.  Stable models in pricing model -- CAPM and APT
D2.  How to test stable pricing models

E.   Alternative Stable Models for Option Pricing
E1.  Option pricing for subordinated stock-price processes 
E2.  Stable and infinitely divisible models for option pricing


The talk is based on my joint work with Stefan Mittnik (Kiel), 
W. Ziemba (UBC, Vancouver), L.Ruschendorf (Freiburg), 
G. Samorodnitsky (Cornell), R. Karandikar (ISI, New Delhi), and  
my Ph.D.students (T. Kozubowkski, H. Xin, B. Cheng, B. Gambrowski, A. 
Panorska).



*****************************************************************



2' seminario:
alle ore 10.00 del giorno martedi', 9 marzo 1999

THE SCALING PROPERTIES OF USD-CHF EXCHANGE RATE
(in collaborazione con Carlo Marinelli)




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Per ulteriori informazioni rivolgersi a:
Marco Dall'Aglio
Tel: 085 4537549
e-mail: maglio@sci.unich.it