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Graduiertenkolleg Angewandte Algorithmische Mathematik



Graduiertenseminar


Multinomial local limit theorems and applications to finance and statistics
Vortragender:

Manfred Denker, Georg-August-Universitaet Goettingen

Termin: Donnerstag, 08. Feburar 2007
Ort: 03.10.011
eingeladen von: Prof. Dr. Klüppelberg


Richter's multinomial local limit theorem can be used to generalize the Black-Scholes formula. This is done by discretization extending the CRR model for option prices. A new multinomial Poisson limit theorem is proven, extending Sevastyanov's theorem, which provides the analog of the classical Poisson limit law for U-statistics.


Tina Marquardt (marquard(at) ma.tum.de)
 Februar 2007