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Stochastic Differential Equations with Applications in Finance

Scope

LUT inverse problems group organises a two-day meeting (from lunch to lunch) concentrating on stochastic differential equations with applications especially in finance.

Venue & Registration

The workshop will be organised in LUT University's Lappeenranta campus. There is no workshop fee, but please send a registration e-mail to Lassi Roininen (lassi.roininen@lut.fi) so that we will have big enough meeting room. Also, if you wish to have a talk, please let us know that as well.

Schedule

21 March 2019, Lecture Hall 2303
13.00-14.00 Martin Simon (Deka Investment GmbH, Frankfurt), Data-driven stock price bubble detection: A practitioners perspective
14.00-14.30 Coffee
14.30-15.00 Simo Särkkä (Aalto University), Numerical Methods for SDEs
15.00-15.30 Sari Lasanen (LUT University), Deformations and hyperparametric processes
15.30-16.00 Eero Immonen (Turku University of Applied Sciences), Dynamical Modeling of Efficient Financial Markets
16.00-16.30 Filip Tronarp (Aalto University), Iterative Statistical Linear Regression for Gaussian Smoothing in Continuous-Time Non-linear Stochastic Dynamic Systems
16.30-17.00 Sebastian Springer (LUT University), Correlation-integral likelihood for SDEs
17.00-18.00 Icebreaker
19.00-21.00 Workshop dinner

22 March 2019, Lecture Hall 1318
09.00-10.00 Petteri Piiroinen (University of Helsinki), Data-driven stock price bubble detection: Theoretical aspects
10.00-10.30 Coffee
10.30-11.00 Christoph Lohrmann (LUT University), Classification of intraday S&P500 returns
11.00-11.30 Tapio Helin (LUT University), Correlation-based imaging of source in stochastic fractional diffusion equations
 

ECTS credits from the workshop

Doctoral and advanced MSc students may get 1-2 ECTS credits. The course assessment is based on obligatory lectures and a written 2-3 page report. The student will earn 1 or 2 credits depending on the work done. The grade will be pass/fail. The report should be sent to Sari Lasanen (sari.lasanen@lut.fi) by 10 April 2019.