From Statistics to Mathematical Finance

Festschrift in Honour of Winfried Stute

Dietmar Ferger, Wenceslao González Manteiga, Thorsten Schmidt, Jane-Ling Wang

• Publisher: Springer
• Year: 2017
• Print ISBN:
  9783319509853
• eBook ISBN:
  9783319509860
• Topic: Mathematics
• Subtopic: Statistics for Business & Economics
• Index: Mathematics

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.

Table of contents

• Foreword
• Contents
• Part I Survival Analysis
• 1 An Odyssey to Incomplete Data: Winfried Stute's Contribution to Survival Analysis
• 2 The Kaplan-Meier Integral in the Presence of Covariates: A Review
• 3 Semi-parametric Random Censorship Models
• 4 Nonparametric Estimation of an Event-Free Survival Distribution Under Cross-Sectional Sampling
• Part II Model Checks
• 5 On the Asymptotic Efficiency of Directional Models Checks for Regression
• 6 Goodness--of--Fit Test for Stochastic Volatility Models
• 7 A Review on Dimension-Reduction Based Tests For Regressions
• Part III Asymptotic Nonparametric Statistics and Change-Point Problems
• 8 Asymptotic Tail Bounds for the Dempfle-Stute Estimator in General Regression Models
• 9 On Empirical Distribution Functions Under Auxiliary Information
• 10 A Review and Some New Proposals for Bandwidth Selection in Nonparametric Density Estimation for Dependent Data
• 11 Estimating the Error Distribution in a Single-Index Model
• 12 Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests
• 13 Nonparametric Stopping Rules for Detecting Small Changes in Location and Scale Families
• 14 Change Point Detection with Multivariate Observations Based on Characteristic Functions
• 15 Kader---An R Package for Nonparametric Kernel Adjusted Density Estimation and Regression
• 16 Limiting Experiments and Asymptotic Bounds on the Performance of Sequence of Estimators
• Part IV Mathematical Finance
• 17 Risk Bounds and Partial Dependence Information
• 18 Shot-Noise Processes in Finance
• 19 A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk
• 20 Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model
• Part V Gender Gap Analysis
• 21 Hierarchical Organizations and Glass Ceiling Effects