Statistics seminar - Professor Michael Grabchak - University of North Carolina Charlotte

A seminar by Professor Michael Grabchak from University of North Carolina Charlotte 

Title: Simulation of Tempered Stable Distributions and Related Processes

Abstract: Tempered stable distributions are obtained by modifying the tails of stable distributions to make them lighter, which leads to models that are more realistic for a variety of application areas. We are primarily motivated by applications to finance. In this talk, we discuss methods for simulating tempered stable distributions and their associated Lévy and OU processes. Furthermore, we extend the idea of tempering stable distributions to tempering more general classes of infinitely divisible distributions and discuss simulation.

For further information, please contact RSFAS Seminars.

All information collected by the University is governed by the ANU Privacy Policy.