About the Project
The proposed project will address the problem of designing computationally tractable filtering algorithms for a class of nonlinear systems with discontinuous dynamics, which are described by Levy processes. The choice of this class of systems is motivated by the fact that many phenomena in financial markets are modelled well using Levy processes. The algorithms designed will be coded in a high level programming language and will be tested on real data on financial derivative prices. Computational tractability is a major issue when one deals with intra-day price changes, and hence methods for high volume statistical data processing will also be explored for their incorporation into the filtering framework.
The student needs to have a first degree in mathematics, engineering or economics (with a strong maths component), with an interest in finance and financial computing.
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