報告題目：Partial Observability of Volatility Matrices: Identification and Covolatilities Imputation
報 告 人：陸揚 助理教授
所在單位：加拿大Concordia大學
報告時間：2023年5月18日 星期四 8:00-9:00
報告地點：騰訊會議 ID:939662665
校内聯系人：朱複康 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.
報告人簡介：陸揚，現任加拿大蒙特利爾Concordia大學助理教授。在法國巴黎高等師範學校(Ecole Normale Superieure)獲得數學本科和碩士，2015年在巴黎第九大學(Universite Paris-Dauphine)獲得應用數學博士。2017年至2020年期間在巴黎十三大 (Universite Sorbonne Paris Nord)擔任永久講師(Maitre de conferences)。研究内容是統計在保險和金融中的應用。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等雜志發表論文20餘篇。
