Dipl.-Math. Thomas Kott
NA 3/32
Tel.: +49-234-3223423
Fax: +49-234-3214039
E-Mail: thomas.kott@ruhr-uni-bochum.de
Sprechstunde: nach Vereinbarung
Forschungsgebiet
statistical inference for inhomogeneous diffusion processes
- parameter estimation (asymptotic theory for continuous-time observations)
- change point testing for drift parameters
stochastic modeling of commodity prices
- modeling forward curves and spot prices
- time-dependent structure of drift and volatility (inhomogeneous diffusions)
- describing common evolution of different markets and commodities
- Monte Carlo simulation
- application: energy asset and option valuation, risk management
Lebenslauf
Aktuelle Arbeiten
- HEROLD DEHLING, BRICE FRANKE and THOMAS KOTT: Drift estimation for a periodic mean reversion process. Statistical Inference for Stoachastic Processes, 13 (2010, accepted)
Zusammenarbeit
- E.ON Ruhrgas AG Essen
- Zusammenarbeit mit Prof. Reg Kulperger, Department of Statistical & Actuarial Sciences, University of Western Ontario, London, Canada