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 .