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“Meet a GERAD researcher!” seminar

Extracting latent states from high frequency option prices


Feb 7, 2017   03:30 PM — 04:30 PM

Geneviève Gauthier Professor, Department of Decision Sciences, HEC Montréal, Canada

Daily returns time series usually exhibits clusters of volatility and jumps. To capture these empirical facts, many existing market models are based on jump diffusion stochastic processes for which the estimation is challenging. Indeed, some of the model features are not directly observable and difficult to disentangle. We propose a filtering approach that benefits from high frequency data available for the S&P 500 index.

Coffee and biscuits will be offered at the beginning of the seminar.
** Welcome to everyone!**

Guy Desaulniers organizer


Room 4488
André-Aisenstadt Building
Université de Montréal Campus
2920, chemin de la Tour Montréal QC H3T 1J4 Canada

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