Wahrscheinlichkeitstheorie und ihre Anwendungen<br>Dipl.-Math. Thomas Kott

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



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


Aktuelle Arbeiten

  1. HEROLD DEHLING, BRICE FRANKE and THOMAS KOTT: Drift estimation for a periodic mean reversion process. Statistical Inference for Stoachastic Processes, 13 (2010, accepted)


  • E.ON Ruhrgas AG Essen
  • Zusammenarbeit mit Prof. Reg Kulperger, Department of Statistical & Actuarial Sciences, University of Western Ontario, London, Canada