Disputas: Paul Carlisle Kettler

Prøveforelesning

Bedømmelseskomité

Lecturer Alvaro Cartea, Birkbeck College, University of London
Ass. Professor Steen Koekebakker, Institutt for økonomi, Høgskolen i Agder
Professor Tom Lindstrøm, Matematisk institutt, Universitet i Oslo

Leder av disputas:  Bent Natvig

Veileder:  Fred Espen Benth (primary); Bernt Øksendal and Frank Proske (secondary)

Sammendrag

"Investigations into dependency between financial Lévy processes using copula methods," is the dissertation of Paul C. Kettler submitted for the PhD degree in mathematics at the University of Oslo.

Financial processes are series of numbers, like daily prices of a stock, which move randomly, but in a framework of rules which are understood. Lévy process, named after the late French mathematician Paul Lévy, specifically allow for jumps in prices, such as those which occur following major economic news events.

This dissertation examines dependency relationships between financial Lévy processes using the construction of a Lévy copula. This construction enables one to look strictly to the dependency information of processes with jumps, and therefore to sharpen the focus of analysis.

Employing the Lévy copula, and other tools previously established or developed during the course of this study, results ensued. Among them are these.

(1) Numerical methods to compute prices are especially challenging, yet tractable, when dealing with jump processes.

(2) Underlying principles of market behavior in the small, as between agents making a trade, determine the financial processes we see in the large.

(3) Financial market jump processes are quite robust with regard to model parameter changes, an important property for the stability of markets.

Kontaktperson

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