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Titolo: | From Statistics to Mathematical Finance : Festschrift in Honour of Winfried Stute / / edited by Dietmar Ferger, Wenceslao González Manteiga, Thorsten Schmidt, Jane-Ling Wang |
Pubblicazione: | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2017 |
Edizione: | 1st ed. 2017. |
Descrizione fisica: | 1 online resource (XIII, 440 p. 43 illus., 20 illus. in color.) |
Disciplina: | 519.5 |
Soggetto topico: | Statistics |
Probabilities | |
Economics, Mathematical | |
Statistical Theory and Methods | |
Probability Theory and Stochastic Processes | |
Quantitative Finance | |
Statistics for Life Sciences, Medicine, Health Sciences | |
Statistics for Business, Management, Economics, Finance, Insurance | |
Persona (resp. second.): | FergerDietmar |
González ManteigaWenceslao | |
SchmidtThorsten | |
WangJane-Ling | |
Nota di bibliografia: | Includes bibliographical references. |
Nota di contenuto: | 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. |
Sommario/riassunto: | 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. |
Titolo autorizzato: | From Statistics to Mathematical Finance |
ISBN: | 3-319-50986-1 |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910254287103321 |
Lo trovi qui: | Univ. Federico II |
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