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