Author: Ronald W. Butler

Publisher: Cambridge University Press

ISBN: 1139466518

Category: Mathematics

Page: N.A

View: 396

Modern statistical methods use complex, sophisticated models that can lead to intractable computations. Saddlepoint approximations can be the answer. Written from the user's point of view, this book explains in clear language how such approximate probability computations are made, taking readers from the very beginnings to current applications. The core material is presented in chapters 1-6 at an elementary mathematical level. Chapters 7-9 then give a highly readable account of higher-order asymptotic inference. Later chapters address areas where saddlepoint methods have had substantial impact: multivariate testing, stochastic systems and applied probability, bootstrap implementation in the transform domain, and Bayesian computation and inference. No previous background in the area is required. Data examples from real applications demonstrate the practical value of the methods. Ideal for graduate students and researchers in statistics, biostatistics, electrical engineering, econometrics, and applied mathematics, this is both an entry-level text and a valuable reference.

# Statistical Methods for Financial Engineering

Author: Bruno Remillard

Publisher: CRC Press

ISBN: 1439856958

Page: 496

View: 5604

While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in financial engineering. After introducing properties of univariate and multivariate models for asset dynamics as well as estimation techniques, the book discusses limits of the Black-Scholes model, statistical tests to verify some of its assumptions, and the challenges of dynamic hedging in discrete time. It then covers the estimation of risk and performance measures, the foundations of spot interest rate modeling, Lévy processes and their financial applications, the properties and parameter estimation of GARCH models, and the importance of dependence models in hedge fund replication and other applications. It concludes with the topic of filtering and its financial applications. This self-contained book offers a basic presentation of stochastic models and addresses issues related to their implementation in the financial industry. Each chapter introduces powerful and practical statistical tools necessary to implement the models. The author not only shows how to estimate parameters efficiently, but he also demonstrates, whenever possible, how to test the validity of the proposed models. Throughout the text, examples using MATLAB® illustrate the application of the techniques to solve real-world financial problems. MATLAB and R programs are available on the author’s website.

# Saddlepoint Approximation Methods in Financial Engineering

Author: Yue Kuen Kwok,Wendong Zheng

Publisher: Springer

ISBN: 3319741012

Category: Mathematics

Page: 128

View: 5294

This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.

# High-Dimensional Probability

An Introduction with Applications in Data Science

Author: Roman Vershynin

Publisher: Cambridge University Press

ISBN: 1108244548

Category: Mathematics

Page: N.A

View: 3518

High-dimensional probability offers insight into the behavior of random vectors, random matrices, random subspaces, and objects used to quantify uncertainty in high dimensions. Drawing on ideas from probability, analysis, and geometry, it lends itself to applications in mathematics, statistics, theoretical computer science, signal processing, optimization, and more. It is the first to integrate theory, key tools, and modern applications of high-dimensional probability. Concentration inequalities form the core, and it covers both classical results such as Hoeffding's and Chernoff's inequalities and modern developments such as the matrix Bernstein's inequality. It then introduces the powerful methods based on stochastic processes, including such tools as Slepian's, Sudakov's, and Dudley's inequalities, as well as generic chaining and bounds based on VC dimension. A broad range of illustrations is embedded throughout, including classical and modern results for covariance estimation, clustering, networks, semidefinite programming, coding, dimension reduction, matrix completion, machine learning, compressed sensing, and sparse regression.

# Statistical Models

Author: A. C. Davison

Publisher: Cambridge University Press

ISBN: 9781139437417

Category: Mathematics

Page: N.A

View: 6234

Models and likelihood are the backbone of modern statistics. This 2003 book gives an integrated development of these topics that blends theory and practice, intended for advanced undergraduate and graduate students, researchers and practitioners. Its breadth is unrivaled, with sections on survival analysis, missing data, Markov chains, Markov random fields, point processes, graphical models, simulation and Markov chain Monte Carlo, estimating functions, asymptotic approximations, local likelihood and spline regressions as well as on more standard topics such as likelihood and linear and generalized linear models. Each chapter contains a wide range of problems and exercises. Practicals in the S language designed to build computing and data analysis skills, and a library of data sets to accompany the book, are available over the Web.

# Metron

Publisher: N.A

ISBN: N.A

Category: Statistics

Page: N.A

View: 9200

# Handbuch der Laplace-Transformation

Band II Anwendungen der Laplace-Transformation

Author: G. Doetsch

Publisher: Springer-Verlag

ISBN: 3034859562

Category: Juvenile Nonfiction

Page: 433

View: 851

Während der I. Band die theoretischen Grundlagen der Laplace-Transforma tion zum Gegenstand hat, behandelt der vorliegende II. und der nachfolgende III. Band die Anwendungen, wobei es sich natürlich nicht nur um sogenannte «angewandte Mathematik», sondern um die verschiedensten Gebiete der reinen und angewandten Mathematik handelt, in welche die Laplace-Transformation als Hilfsmittel eingreift. Nachdem die Lösung von Funktionalgleichungen vermittels Laplace-Trans formation heutzutage Allgemeingut geworden ist, scheint mir dasjenige An wendungsgebiet, dessen Kenntnis vor allem verbreitet werden sollte, die Theorie der asymptotischen Entwicklungen zu sein. Aus diesem Grund sind diese als I. Teil an die Spitze des II. Bandes gestellt worden. Sowohl in der Theorie als in der Praxis spielen eigentlich die asymptotischen Entwicklungen eine grössere Rolle als die konvergenten Reihen, die den meisten Mathematikern und Inge nieuren aber viel geläufiger sind, weil sie im Unterricht der Hochschulen und in den Lehrbüchern einen erheblich breiteren Raum einnehmen als die asympto tischen Entwicklungen. Um die letzteren mehr in den Vordergrund zu schieben und um die erstaunlichen Möglichkeiten hervorzuheben, die die Laplace-Trans formation gerade auf diesem Gebiet eröffnet, habe ich die aus der ein- und zwei seitigen Laplace-Transformation (oder in anderem Gewand: der Mellin-Transfor mation) sowie aus dem komplexen Umkehrintegral fliessenden asymptotischen Methoden besonders weitgehend ausgearbeitet und durch viele Beispiele illu striert.

# Bootstrap Methods and Their Application

Author: A. C. Davison,D. V. Hinkley

Publisher: Cambridge University Press

ISBN: 9780521574716

Category: Computers

Page: 582

View: 9224

This book gives a broad and up-to-date coverage of bootstrap methods, with numerous applied examples, developed in a coherent way with the necessary theoretical basis. Applications include stratified data; finite populations; censored and missing data; linear, nonlinear, and smooth regression models; classification; time series and spatial problems. Special features of the book include: extensive discussion of significance tests and confidence intervals; material on various diagnostic methods; and methods for efficient computation, including improved Monte Carlo simulation. Each chapter includes both practical and theoretical exercises. Included with the book is a disk of purpose-written S-Plus programs for implementing the methods described in the text. Computer algorithms are clearly described, and computer code is included on a 3-inch, 1.4M disk for use with IBM computers and compatible machines. Users must have the S-Plus computer application. Author resource page: http://statwww.epfl.ch/davison/BMA/

# Journal of the American Statistical Association

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Statistics

Page: N.A

View: 9234

# Breakthroughs in Statistics

Author: Samuel Kotz,Norman Lloyd Johnson

Publisher: Springer Verlag

ISBN: 9780387949888

Category: Mathematics

Page: 559

View: 5757

Volume III includes more selections of articles that have initiated fundamental changes in statistical methodology. It contains articles published before 1980 that were overlooked in the previous two volumes plus articles from the 1980's - all of them chosen after consulting many of today's leading statisticians.

Author: N.A

Publisher: N.A

ISBN: N.A

Category: America

Page: N.A

View: 1709

# Kendall's Advanced Theory of Statistics

Volume 1: Distribution Theory

Author: Alan Stuart,Keith Ord

Publisher: Wiley

ISBN: 9780340614303

Category: Mathematics

Page: 700

View: 8525

# The Annals of Mathematical Statistics

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Mathematical statistics

Page: N.A

View: 7915

# Selected Statistical Papers of Sir David Cox: Volume 2, Foundations of Statistical Inference, Theoretical Statistics, Time Series and Stochastic Processes

Author: David Cox

Publisher: Cambridge University Press

ISBN: 9780521849401

Page: 602

View: 4598

Sir David Cox's most important papers, each the subject of a new commentary by Professor Cox.

# Mathematical Reviews

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Mathematics

Page: N.A

View: 6868

# Subject Guide to Books in Print

An Index to the Publishers' Trade List Annual

Author: N.A

Publisher: N.A

ISBN: N.A

Category: American literature

Page: N.A

View: 3220

# The British National Bibliography

Author: Arthur James Wells

Publisher: N.A

ISBN: N.A

Category: English literature

Page: N.A

View: 1185

# American Book Publishing Record

ABPR annual cumulative

Author: N.A

Publisher: N.A

ISBN: N.A

Category: United States

Page: N.A

View: 3541

# Grundbegriffe der Wahrscheinlichkeitsrechnung

Author: A. Kolomogoroff

Publisher: Springer-Verlag

ISBN: 3642498884

Category: Mathematics

Page: 62

View: 9697

Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.