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Séance MB3 - Exposé magistral II / Tutorial II

Jour lundi, le 04 mai 2009
Salle Gérard Parizeau
Président Michèle Breton

Présentations

15h30-
17h10
Estimation in Financial Engineering
  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.


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