Financial Mathematics Seminar: Arturo Kohatsu-Higa -- Simulation of Levy Driven Stochastic Differential Equations

Prof Arturo Kohatsu Higa (Osaka University) will give talks:

   1)  at UNSW on Friday, August 6 (2-4 pm, Red Centre, Room 3084)

and

   2)  at the University of Sydney on Tuesday, August 10 (4-6 pm, Carslaw  
       Building, Room 375)

   Title: Simulation of Levy Driven Stochastic Differential Equations (Part 1 
          and 2)

   Abstract: We will present some recent developments in the simulation of 
   approximate solutions for stochastic differential equations driven by 
   Levy processes. In particular, we will consider Levy processes with  
   infinite activity, which are common in financial models (e.g. Variance 
   Gamma models, hyperbolic, Inverse Gaussian, etc). We also discuss how
   to compare the methods using error estimates.