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evenements:seminaireproba-math-fi [2018/11/22 19:47]
Valérie Picot
evenements:seminaireproba-math-fi [2019/01/07 09:29] (current)
Valérie Picot
Line 5: Line 5:
 __Contact__ : Etienne Chevalier, Dasha Loukianova, Sergio Pulido \\ __Contact__ : Etienne Chevalier, Dasha Loukianova, Sergio Pulido \\
 +**__Exposés de l'​année 2019__ :**
 +**24 janvier à 14h00 :** <color #088A85> Carlo Sgarra </​color>​ (Politecnico di Milano) // Estimation of a Self-Exciting Jump Diffusion Model for Oil Price by a Particle Markov Chain Monte Carlo Method//
 +++ Voir résumé |  \\In this paper we propose a self-exciting jump diffusion model for oil price dynamics based on a Hawkes-type process. In particular, the jump intensity is stochastic and path dependent, implying that a jump will increase the probability of observing a new jump and this feature of the model aims at explaining the jumps clustering effect. These kind of models are now very popular in mathematical finance and financial econometrics,​ but the existing literature is mainly focused on the equity market. In contrast, we fit our model to spot prices related to the WTI crude oil at daily frequency and the estimation is performed by applying a suitable modification of Particle Markov Chain Monte Carlo method proposed by Andrieu \& al. \cite{holestein}. Finally, we provide an in the sample and out of the sample analysis in order to test the validity of our approach. (Paper written in Cooperation with L. Gonzato, Milano Bicocca and ESSEC).
 **__Exposés de l'​année 2018__ :** **__Exposés de l'​année 2018__ :**
evenements/seminaireproba-math-fi.txt · Last modified: 2019/01/07 09:29 by Valérie Picot

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