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AVVISO di SEMINARIO

Prof.ssa Yuliya Mishura Department of Probability, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Kyiv (Ukraine)

TITLE Drift parameters estimation in the Cox-Ingersoll-Ross model

Abstract We investigate two drift parameter estimators in the CIR and CKLS models with standard Wiener process. Strong consistency and asymptotic normality are established.

Il seminario si terrà il giorno 28 Febbraio 2023 ore 13:30 nella Aula D del Dipartimento Matematica e Applicazioni, Università di Napoli FEDERICO II, Complesso di Monte Sant'Angelo, Via Cintia, Napoli.

Link to Teams: https://teams.microsoft.com/l/meetup-join/19%3aMQ4RZDBo_0G-K_PHxKtktVYAczOGb...

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