Our research on exponetialmodels and high order asymptotic has produced two doctoral thesis and some papers in different journals, two of them in JASA in 1999. Moreover, we have a proposal, from Springer, to write a monograph on this topic. In the mean time we have organized a Master degree in "Matemàtiques per als Instruments Finacers" in collaboration with the most important financial institutions in Catalonia and we are in contact with the Europen leaders in mathematical finance. We are starting to work with them in order to use our background in mathematical statistics to this field. The main objective os this project is to develop new statistical tools to study the stochastic models that appear in mathematical finance as, for instance, Levi processes and stochastic volatility models, whose marginal laws are exponential models. In particular we will develop saddlepoint approximation methods for models with boundar parameters as Generalized Inverse Gaussian distribution. Other main objective of this project is to organize a regular collaboration between mathematics, economist amd practitioners.
|Effective start/end date||19/12/00 → 19/12/03|