Session MB3 - Exposé magistral II / Tutorial II
Day Monday, May 04, 2009 Room Gérard Parizeau President Michèle Breton
Presentations
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03h30 PM- 05h10 PM |
Estimation in Financial Engineering |
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Geneviève Gauthier, HEC Montréal, Méthodes quantitatives de gestion et GERAD, 3000 Côte-Sainte-Catherine, Montréal, Québec, Canada, H3T 2A7 The estimation of financial models is multifaceted for many reasons: the option prices are complex functions of the model's parameters and variables, the presence of noises in the data, the lack of observability of some of the variables, etc. This talk is an introduction to some estimation problems encountered in finance. It is intended for a broad audience which may not be familiar with the financial context. Several applications in risk management will be presented. |