Advanced Methods in Finance (AMF) Series

Mini-course: "Heavy tails and long memory in financial applications"

Wroc³aw, 22.10.2018

Lecturer:
Niels Wesselhöfft
(Humboldt-Universität zu Berlin)

Venue:
Wroc³aw University of Science and Technology,
Faculty of Pure and Applied Mathematics,
Janiszewskiego 14a,
Building: C-11

Schedule:
22.10.2018, Monday - 09:15-11:00, room 2.11, building C11, lecture
22.10.2018, Monday - 11:15-13:00, room 2.11, building C11, laboratory

Course materials:

  1. Financial Application - The Kelly Criterion
  2. Kelly on stable laws
  3. Multivariate portfolio extension
  4. Exercises

Contact person:
Prof. Krzysztof Burnecki
Dr Michal Balcerek

Last modified on 2017-11-03.