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From Statistics to Mathematical Finance : Festschrift in Honour of Winfried Stute / edited by Dietmar Ferger, Wenceslao González Manteiga, Thorsten Schmidt, Jane-Ling Wang.
Springer Nature - Springer Mathematics and Statistics eBooks 2017 English International Available online
View online- Format:
- Book
- Language:
- English
- Subjects (All):
- Statistics.
- Probabilities.
- Social sciences--Mathematics.
- Social sciences.
- Biometry.
- Statistical Theory and Methods.
- Probability Theory.
- Mathematics in Business, Economics and Finance.
- Biostatistics.
- Statistics in Business, Management, Economics, Finance, Insurance.
- Local Subjects:
- Statistical Theory and Methods.
- Probability Theory.
- Mathematics in Business, Economics and Finance.
- Biostatistics.
- Statistics in Business, Management, Economics, Finance, Insurance.
- Physical Description:
- 1 online resource (XIII, 440 p. 43 illus., 20 illus. in color.)
- Edition:
- 1st ed. 2017.
- Place of Publication:
- Cham : Springer International Publishing : Imprint: Springer, 2017.
- Summary:
- 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.
- Contents:
- 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.
- Notes:
- Includes bibliographical references.
- ISBN:
- 9783319509860
- 3319509861
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