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Produktbild: From Statistics to Mathematical Finance
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From Statistics to Mathematical Finance Festschrift in Honour of Winfried Stute

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Beschreibung

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,...

Beschreibung

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.

Portrait


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.

Produktdetails

Einband

Taschenbuch
Erscheinungsdatum

23.08.2018
Abbildungen

XIII, 440 p. 43 illus., 20 illus. in color.
Herausgeber Dietmar Ferger + weitere

Produktdetails

Einband

Taschenbuch
Erscheinungsdatum

23.08.2018
Abbildungen

XIII, 440 p. 43 illus., 20 illus. in color.
Herausgeber
Verlag Springer
Seitenzahl

440
Maße (B/H)

15,5/23,5 cm
Gewicht

686 g
Auflage

Softcover reprint of the original 1st ed. 2017
Sprache

Englisch
ISBN

978-3-319-84538-8
Herstelleradresse

Springer International Publishing AG
Gewerbestr. 11
6330 Cham
Schweiz
Url: www.springer.com

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  • Produktbild: From Statistics to Mathematical Finance

  • 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.