UIC Graduate Student Seminar

Friday November 2
3:00 pm
636 SEO

Speaker: Floyd Hanson

Title: Jump Diffusions in Finance

Abstract: Entry level talk in applied probability about stochastic log-normal jump-diffusion models in computational finance using basic principles to include the skewness and heavier tailed distributions not found with pure log-normal diffusions but in realistic market data. The density function will be derived by combining a triplet of normal and Poisson distributions. The parameters of the combined density are chosen by fitting the density to the log differences in the empirical Standard and Poor's 500 Stock Index closings. Finally, the jump-diffusion model will be applied to an optimal portfolio and consumption problem.
A proceedings preprint of the work is available here .