Oberwolfach Reports


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Volume 1, Issue 1, 2004, pp. 111–190
DOI: 10.4171/OWR/2004/02

Published online: 2004-12-31

Statistics in Finance

Claudia Klüppelberg[1] and Richard A. Davis[2]

(1) TU München, Garching, Germany
(2) Columbia University, New York, USA

The Statistics in Finance Workshop, organized by Richard A. Davis (Ft. Collins) and Claudia Klüppelberg (Technische Universit"at M"unchen), was held January 11-17. This meeting was well attended with over 40 participants with broad geographic representation from Europe, England, Australia, the Far East, and the US. This workshop was a nice blend of researchers with various backgrounds including statistics, probability, and econometrics. Approximately 33 talks, of varying lengths, were delivered during the five days. The talks were given by both leading experts in the field as well as by up and coming stars. There were several major themes in the various sessions. These included, continuous time models, Levy processes, stochastic volatility models, GARCH models, extreme value theory with applications to financial risk, theory of copulas, and option pricing. This meeting generated a great deal of discussion and often smaller groups of people met in the evenings for expanded and detailed lectures. A number of important research contacts were made which we fully expect to stimulate many new collaborative research projects. In addition to the excellent scientific program, there were two scheduled social activities. The inclement weather cleared up just in time for the traditional Wednesday afternoon hike to Oberwolfach for coffee and Black Forest Cake. The second activity, which most considered the highlight of the week, was a piano recital performed by Peter Brockwell and Gernot M"uller. For many of the participants, this was their first trip to Oberwolfach, and they came away very impressed from the experience. There was a strong consensus that the ``Statistics in Finance Workshop" should become a regular Oberwolfach event.

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Klüppelberg Claudia, Davis Richard: Statistics in Finance. Oberwolfach Rep. 1 (2004), 111-190. doi: 10.4171/OWR/2004/02