Ho il piacere di invitarvi al seguente seminario, che si terrà Martedì 26 Settembre, alle 10:30, 

in aula 2AB45 della Torre Archimede presso il Dipartimento di Matematica dell'Università degli Studi di Padova.

SPEAKER: 

Paolo Pigato

AFFILIATION: 

WIAS, Berlino

TITLE:

The Oscillating Brownian motion: estimation and application to volatility modeling

ABSTRACT:

We consider a continuous time stochastic process which exhibits a regime-switch in the dynamics accordingly to a certain threshold. This process is solution to a stochastic differential equation with piecewise constant coefficients. We introduce and analyze estimators for the diffusion coefficient, the drift coefficient, and the threshold level. We use this process as a local volatility model for financial indices, that we test on time series of daily prices of several assets, finding evidence of leverage effect (negative correlation between prices and volatilies) and of mean-reversion effects in the dynamics of the prices.