# Stochastic Analysis Seminar

Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

Past events in this series
20 January 2014
15:45
ROMAIN ALLEZ
Abstract
<p>We shall discuss the statistics of the eigenvalues of large random Hermitian matrices when the temperature is very high. In particular we shall focus on the transition from Wigner/Airy to Poisson regime. </p>
• Stochastic Analysis Seminar
3 February 2014
15:45
Abstract
<p>The'signature', from the theory of differential equations driven by rough paths,<br />provides a very efficient way of characterizing curves. From a machine learning<br />perspective, the elements of the signature can be used as a set of features for<br />consumption by a classification algorithm. <br /><br />Using datasets of letters, digits, Indian characters and Chinese characters, we<br />see that this improves the accuracy of online character recognition---that is<br />the task of reading characters represented as a collection of pen strokes.</p>
• Stochastic Analysis Seminar
10 February 2014
14:15
Abstract

Sampling a $d$-dimensional continuous signal (say a semimartingale) $X:[0,T] \rightarrow \mathbb{R}^d$ at times $D=(t_i)$, we follow the recent papers [Gyurko-Lyons-Kontkowski-Field-2013] and [Lyons-Ni-Levin-2013] in constructing a lead-lag path; to be precise, a piecewise-linear, axis-directed process $X^D: [0,1] \rightarrow \mathbb{R}^{2d}$ comprised of a past and future component. Lifting $X^D$ to its natural rough path enhancement, we can consider the question of convergence as
the latency of our sampling becomes finer.

• Stochastic Analysis Seminar
17 February 2014
14:15
Abstract

Despite the ability of the stochastic volatility models along with their multivariate and multi-factor extension to describe the dynamics of the asset returns, these
models are very difficult to calibrate to market information. The recent financial crises, however, highlight that we can not use simplified models to describe the fincancial returns. Therefore, our statistical methodologies have to be improved. We propose a non parametricmethodology based on the use of the Fourier transform and the high frequency data which allows to estimate the diffusion and the leverage components of a general stochastic volatility model driven by continuous Brownian semimartingales. Our estimation procedure is based only on a pre-estimation of the Fourier coefficients of the volatility process and on the use of the Bohr convolution product as in Malliavin and Mancino 2009. This approach constitutes a novelty in comparison with the non-parametric methodologies proposed in the literature generally based on a pre-estimation of the spot volatility and in virtue of its definition it can be directly applied in the case of irregular tradingobservations of the price path an microstructure noise contaminations.

• Stochastic Analysis Seminar