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bat365在线平台、所2023年系列学术活动(第049场):陆扬 助理教授 加拿大Concordia大学

发表于: 2023-05-16   点击: 

报告题目:Partial Observability of Volatility Matrices: Identification and Covolatilities Imputation

报 告 人:陆扬 助理教授

所在单位:加拿大Concordia大学

报告时间:2023年5月18日 星期四 8:00-9:00

报告地点:腾讯会议 ID:939662665

校内联系人:朱复康 zhufk@126.com


摘要:Whereas data on return volatilities are available for a large number of assets, this is less frequently the case for covolatilities. We introduce an approach based on static and dynamic Wishart models to solve this problem of missing data. We first discuss the identification of the parameter of the (static and dynamic) Wishart models from observed volatilities. Then we define the imputation approach and apply it to different financial applications.


报告人简介:陆扬,现任加拿大蒙特利尔Concordia大学助理教授。在法国巴黎高等师范学校(Ecole Normale Superieure)获得数学本科和硕士,2015年在巴黎第九大学(Universite Paris-Dauphine)获得应用数学博士。2017年至2020年期间在巴黎十三大 (Universite Sorbonne Paris Nord)担任永久讲师(Maitre de conferences)。研究内容是统计在保险和金融中的应用。曾在Management Science, Mathematical Finance, Journal of Banking and Finance, Electronic Journal of Statistics, Scandinavian Journal of Statistics, Journal of the Royal Statistical Society Series A, Journal of Applied Econometrics, Journal of Multivariate Analysis, Journal of Time Series Analysis, Insurance: Mathematics and Economics, Journal of Risk and Insurance, Scandinavian Actuarial Journal等杂志发表论文20余篇。