SHORT TITLE: Parameter estimation for stochastic processes
SHORT DESCRIPTION: Often the estimation of the parameters of stochastic processes is a non-trivial task and approximations to likelihood functions and other measures of fit are required. We investigate various ways of estimating the parameters involved and we propose new estimation techniques.
PEOPLE INVOLVED: I.J.H Visagie, J.S. Allison (North-West University).
SHORT TITLE: Lévy processes in option pricing
SHORT DESCRIPTION: Models based on Lévy processes are popular in the context of financial modelling. The aim of this research is to consider and compare the Lévy processes used. The research focusses on the connections between changes of probability measure and the resulting option prices.
PEOPLE INVOLVED: I.J.H. Visagie, C.R. Kwinje, T.V. Malope