Fascination of Probability, Statistics and their Applications
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Fascination of Probability, Statistics and their Applications
In Honour of Ole E. Barndorff-Nielsen
Veraart, Almut E. D.; Thorbjornsen, Steen; Podolskij, Mark; Stelzer, Robert
Springer International Publishing AG
03/2018
527
Mole
Inglês
9783319798479
15 a 20 dias
831
Descrição não disponível.
Mark Podolskij, Robert Stelzer, Steen Thorbjornsen, Almut E.D. Veraart: Preface.- Eva Vedel Jensen et al.: Ole E. Barndorff-Nielsen's scientific contributions.- Michael Sorensen: On the size distribution of sand.-Bjoern Birnir: From Wind-Blown Sand to Turbulence and back.- Jose Ulises Marquez, Juergen Schmiegel: Modelling Turbulent Time Series by BSS Processes.- Gerard Letac: Associate Natural Exponential Families and Elliptic Functions.- Per Aslak Mykland, Jianming Ye: Cumulants and Bartlett Identities in Cox Regression.- Martin Drapatz, Alexander Lindner: Exchangeability and Infinite Divisibility.- Peter Tankov: Levy copulas: Review of Recent Results .- Fred Espen Benth, Asma Khedher: Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion.- Jorge M. Ramirez, Enrique A. Thomann, Edward C. Waymire : Continuity of Local Time: An Applied Perspective .- Bohan Chen, Carsten Chong, Claudia Klueppelberg: Simulation of Stochastic Volterra Equations Driven by Space-Time Levy Noise.- Victor Perez-Abreu, Alfonso Rocha-Arteaga on the Process of the Eigenvalues of a Hermitian Levy Process.- Neil Shephard, Justin J. Yang: Likelihood Inference for Exponential-Trawl Processes.- Thibault Jaisson, Mathieu Rosenbaum: The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes.- Alessandra Luati, Tommaso Proietti: Generalised Partial Autocorrelations and the Mutual Information between Past and Future.- Jean Jacod, Viktor Todorov: Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices.- MasayukiUchida, Nakahiro Yoshida: Model Selection for Volatility Prediction.-Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data.- Paul Embrechts, Edgars Jakobsons: Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds.- Mark Davis<: A Beaufort Scale of Predictability.- Bernt Oksendal, Agnes Sulem, Tusheng Zhang: A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs.-Jose Manuel Corcuera, Jose Fajardo, Wim Schoutens, Arturo Valdivia: CoCos with Extension Risk. A Structural Approach.- Giulia Di Nunno, Erik Hove Karlsen: Hedging under Worst-Case-Scenario in a Market driven by Time- Changed Levy Noises.- Soren Asmussen, Lester Lipsky, Stephen Thompson: Markov Renewal Methods in Restart Problems in Complex Systems.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Barndorff-Nielsen;Levy Processes;Exponential Families;Financial Econometrics;Infinitely Divisible Distributions;Mathematical Finance;Statistics of Stochastic Processes;Stochastic Partial Differential Equations;Turbulence;Time Series;Stochastic Analysis;Risk Measurement;60Gxx, 62Mxx, 60E07, 76F55, 62P35, 62P05, 91BXX,;62P20, 62Fxx, 62Gxx, 60F05, 60Jxx 60Hxx, 62-03, A65;quantitative finance
Mark Podolskij, Robert Stelzer, Steen Thorbjornsen, Almut E.D. Veraart: Preface.- Eva Vedel Jensen et al.: Ole E. Barndorff-Nielsen's scientific contributions.- Michael Sorensen: On the size distribution of sand.-Bjoern Birnir: From Wind-Blown Sand to Turbulence and back.- Jose Ulises Marquez, Juergen Schmiegel: Modelling Turbulent Time Series by BSS Processes.- Gerard Letac: Associate Natural Exponential Families and Elliptic Functions.- Per Aslak Mykland, Jianming Ye: Cumulants and Bartlett Identities in Cox Regression.- Martin Drapatz, Alexander Lindner: Exchangeability and Infinite Divisibility.- Peter Tankov: Levy copulas: Review of Recent Results .- Fred Espen Benth, Asma Khedher: Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion.- Jorge M. Ramirez, Enrique A. Thomann, Edward C. Waymire : Continuity of Local Time: An Applied Perspective .- Bohan Chen, Carsten Chong, Claudia Klueppelberg: Simulation of Stochastic Volterra Equations Driven by Space-Time Levy Noise.- Victor Perez-Abreu, Alfonso Rocha-Arteaga on the Process of the Eigenvalues of a Hermitian Levy Process.- Neil Shephard, Justin J. Yang: Likelihood Inference for Exponential-Trawl Processes.- Thibault Jaisson, Mathieu Rosenbaum: The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes.- Alessandra Luati, Tommaso Proietti: Generalised Partial Autocorrelations and the Mutual Information between Past and Future.- Jean Jacod, Viktor Todorov: Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices.- MasayukiUchida, Nakahiro Yoshida: Model Selection for Volatility Prediction.-Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data.- Paul Embrechts, Edgars Jakobsons: Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds.- Mark Davis<: A Beaufort Scale of Predictability.- Bernt Oksendal, Agnes Sulem, Tusheng Zhang: A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs.-Jose Manuel Corcuera, Jose Fajardo, Wim Schoutens, Arturo Valdivia: CoCos with Extension Risk. A Structural Approach.- Giulia Di Nunno, Erik Hove Karlsen: Hedging under Worst-Case-Scenario in a Market driven by Time- Changed Levy Noises.- Soren Asmussen, Lester Lipsky, Stephen Thompson: Markov Renewal Methods in Restart Problems in Complex Systems.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Barndorff-Nielsen;Levy Processes;Exponential Families;Financial Econometrics;Infinitely Divisible Distributions;Mathematical Finance;Statistics of Stochastic Processes;Stochastic Partial Differential Equations;Turbulence;Time Series;Stochastic Analysis;Risk Measurement;60Gxx, 62Mxx, 60E07, 76F55, 62P35, 62P05, 91BXX,;62P20, 62Fxx, 62Gxx, 60F05, 60Jxx 60Hxx, 62-03, A65;quantitative finance
