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Short course and Workshop

Recent Advance in Statistical Modeling [RASM] 2011
Short course: May, 19th-21st 2011, Workshop : May, 23th-26th  2011



Statistical modeling has grown rapidly and become very popular for academia as well as practitioners. The applications of such modeling may be found in many areas including science, economics and finance, information technology, health and environmental science. The present short course and workshop are dedicated as a forum to gain knowledge on recent developments and advances in statistical modeling.
Detail of both materials can be found in following links : workshop; short course. 
Personal information of speakers can also be found in following links: Dr. Darfiana Nur; Khreshna I. A. Syuhada, PhD; Prof. Sutawanir Darwis; Prof. Kerrie Mengersen.

 

Seminary

 Estimation of Stochastic Volatility from Two Correlated Stock Prices
On Wednesday, March 23th, 2011

This seminary discusses an extension of the Hull-White model for stochasticvolatility. It considers a two-dimensional case where returns of two assets are correlated. The main objective is to estimate the volatility of each asset online given the observation of the returns of the asset prices, taking account the correlation between the asset prices.

Please find following links for further information; Dr. Ir. Budhi Arta Surya, MSc ; Seminary’s slide.

 

Lecture on Applied Probability in Finance 

 Given by Prof. Karl Sigman 
[Director of the Center for Applied Probability - Columbia University]

Wednesday, February 2nd 2011 at 1.30 pm,Venue: Ruang Seminar I.1-I.2
 
The Binomial Lattice Model (BLM) is a simple discrete-time stochastic Markov chain model for stock prices. We will first introduce the model with its nice features,while showing how one can easily do computations with it. We also will point out the ease with which it can be simulated on a laptop computer (using MATLAB, for example). We then will learn some basic option pricing theory, by using an elementary "matching portfolio" of stock and risk-free asset (money in the bank at a fixed interest rate. As a result, we will easily derive a discrete-time version of the famous Black-Scholes-Merton option pricing formula for European call options.

Detail of presentation can be found in following link: presentation slide.

 

Dr. Gopalan Nair

(The University of Western Australia)

 
 
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Institut Teknologi Bandung

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