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Seminario Nick Polson 9/3/06 (IMQ Bocconi)

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                   AVVISO DI SEMINARIO
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Giovedi' 9 marzo 2006 alle ore 16:30 nella stanza 137
dell'Istituto di Metodi Quantitativi dell'Universita' Bocconi
(Viale Isonzo 25, Milano),

                    NICHOLAS POLSON
                 University of Chicago
          (GSB, Graduate school of Business)

terra' il seminario:

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    Optimal Filtering of Jump-Diffusions: Extracting 
             Latent States from Asset Prices
 

Abstract

This paper provides a methodology for optimally filtering latent 
state variables in discretely observed jump-diffusion models.
When prices are observed continuously, state variables such as
volatility, jump times and jump sizes are also observed, but
with discrete observations these variables are unobserved. We 
combine discretization schemes with Monte Carlo methods to compute
the optimal filtering distribution: the distribution of the latent
states conditional on the observed prices. Our approach is
very general, applying in models with nonlinear characteristics 
and even non-analytic observation equations. We use simulations to
investigate how sampling frequency affects jump and volatility
estimates and then extract information about volatility
jointly from equity index options and index returns.

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Tutti gli interessati sono invitati a partecipare.

Cordiali saluti,

Marco Bonetti


Marco Bonetti
Istituto di Metodi Quantitativi
Università Bocconi
Viale Isonzo 25
20135 Milano, Italy
(02) 58365670

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