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International Conference on Interdisciplinary Mathematical and Statistical Techniques - IMST 2008 / FIM XVI
May 16-18, 2008
University of Memphis
Memphis, TN, USA

Organizers
Sat Gupta, M.L. Aggarawal, James Jamison

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Inference Procedures for Some Volatility Models
by
Melody Ghahramani
Department of Mathematics & Statistics, University of Winnipeg, Winnipeg, Manitoba, Canada
Coauthors: Aerambamoorthy Thavaneswaran; Department of Statistics, University of Manitoba, Winnipeg, Manitoba, Canada

Recently there has been a growing interest in inference for volatility models based on option prices. In this talk, prediction, estimation and filtering for GARCH and Stochastic Volatility models are discussed. Superiority of the fuzzy forecasts is also discussed in some detail. Numerical examples of fuzzy option pricing are also given.

Date received: February 27, 2008

Copyright © 2008 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cawu-43.