Ambit Stochastics with Applications to Mathematical Finance

Stochastic Analysis Seminar Series

This talk gives an introduction to the field of Ambit Stochastics, which deals with the study of random objects whose properties depend on time and spatial position. The variability in space and time is controlled through specific regions in space and time, the so-called ambit sets, and encompasses additional basic stochastic variation, the so-called intermittency/volatility.

Ambit stochastics has applications in many areas of sciences, and this talk will focus in particular on some recent research related to applications in mathematical finance.

This is joint work with Ole E. Barndorff-Nielsen (Aarhus University) and Fred Espen Benth (University of Oslo).


Almut Veraart (Imperial College, London)

Monday, January 16, 2012 - 14:15
to 15:15