From Statistics to Mathematical Finance: Festschrift in Honour of Winfried Stute
Editat de Dietmar Ferger, Wenceslao González Manteiga, Thorsten Schmidt, Jane-Ling Wangen Limba Engleză Hardback – 8 noi 2017
This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.
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Specificații
ISBN-13: 9783319509853
ISBN-10: 3319509853
Pagini: 440
Ilustrații: XIII, 440 p. 43 illus., 20 illus. in color.
Dimensiuni: 155 x 235 x 34 mm
Greutate: 0.81 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Locul publicării:Cham, Switzerland
ISBN-10: 3319509853
Pagini: 440
Ilustrații: XIII, 440 p. 43 illus., 20 illus. in color.
Dimensiuni: 155 x 235 x 34 mm
Greutate: 0.81 kg
Ediția:1st ed. 2017
Editura: Springer International Publishing
Colecția Springer
Locul publicării:Cham, Switzerland
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Cuprins
Preface.- Review Chapters on Winfried Stute's Work, e.g. Stute's Work in Survival Analysis.- Novikov: Kolmogorov-Smirnov Statistics.- Albrecher: Insurance Mathematics.- Rüschendorf: Risk Bounds and Partial Dependence Information.- Schumacher: Kaplan-Meier Integrals.- Overbeck: Backward SDEs.- Häusler: On Empirical Distribution Functions Under Auxiliary Information.- Eichner: KARDE - An R package for Kernel-Adaptive Regression and Density Estimation.- Ferger: Asymptotic Tail Bounds for the Dempfle-Stute Estimator in General Regression Models.- Dikta: Semi-parametric Random Censorship Models.- Schmidt: Shot-Noise Processes in Finance.- Koul: Estimating the Error Distribution in a Single-index Model.- Zhu: A Review on Dimension Reduction-based Tests for Regressions.- Roussas: Limiting Experiments and Asymptotic Bounds on the Performance of Sequences of Estimators.- Bhattacharya: Nonparametric Stopping Rules for Detecting Small Changes in Location and Scale Families.- Cao: A Review on Bandwidth Selection for Density Estimation with Dependent Data.- de Uña: On Nonparametric Estimation from Truncated Samples.- Ferreira: Stochastic Processes Applied to Gender Gaps.- Delgado: On the Efficiency of Directional Model Checks for Regression.- Gonzalez-Manteiga: Goodness-of-fit Tests for Stochastic Volatility Models.- Eberlein: Option Pricing with Levy Processes.- Huskova: Change Point Detection with Multivariate Observations Based on Characteristic Functions.
Notă biografică
Dietmar Ferger is a Professor at the Institute of Mathematical Stochastics, TU Dresden, Germany.
Wenceslao González Manteiga is a Professor at the Department of Statistics and Operations Research, University of Santiago de Compostela, Spain.
Thorsten Schmidt is a Professor at the Department of Mathematical Stochastics, University of Freiburg, Germany.
Jane-Ling Wang is Distinguished Professor at the Department of Statistics, University of California, Davis, USA.
Wenceslao González Manteiga is a Professor at the Department of Statistics and Operations Research, University of Santiago de Compostela, Spain.
Thorsten Schmidt is a Professor at the Department of Mathematical Stochastics, University of Freiburg, Germany.
Jane-Ling Wang is Distinguished Professor at the Department of Statistics, University of California, Davis, USA.
Textul de pe ultima copertă
This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.
Caracteristici
Features new findings by prominent experts in statistics, stochastic processes and mathematical finance Also includes review articles on various topics, such as survival analysis Will appeal to researchers and PhD students who are interested in the latest developments in the area Includes supplementary material: sn.pub/extras