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Purdue Computational Finance Program


Extreme Events in Financial Markets

January 24, 2003
2:30 p.m.

KRAN G020

Professor Maria Cristina Mariani, Universidad de Buenos Aires, Department of Mathematics, Visiting Purdue University

Abstract:
Mathematical models to enhance understanding of extreme events in financial markets are studied:
  • The analysis of asset-price dynamics in models that capture the possibility of sudden, large changes in prices - i.e., "jumps".
  • The development and application of tools from mathematical physics to analyze market dynamics leading to a "crash".
  • Truncated Levy walks.
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