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Project C5: Statistical inference for complex stochastic models in finance

Project leaders

Herold Dehling

Jeannette Woerner

Abstract

Project C5 considers complex stochastic processes in the framework of mathematical finance. Our aim is to develop statistical methods, both estimation and tests for key quantities of price processes of stocks, electricity and commodities taking into account the specific correlation structure of the data and their implications on risk. These features might be modelled by generalized Ornstein-Uhlenbeck processes, fractional Brownian motion and fractional Lévy processes, which provide flexible classes of stochastic processes, combining the different aspects of infinitely divisible distributions, correlations and path behaviour of empirical data.