Download or read book Copulae and Multivariate Probability Distributions in Finance written by Alexandra Dias and published by Routledge. This book was released on 2013-08-21 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.
Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1992 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Deterministic and Stochastic Models of AIDS Epidemics and HIV Infections with Intervention written by W. Y. Tan and published by World Scientific. This book was released on 2005 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt: With contributions from an international team of leading researchers, the book pulls together updated research results in the area of HIV/AIDS modeling to provide readers with the latest information in the field. Topics covered include: AIDS epidemic models; vaccine models; models for HIV/cell dynamics and interactions; cellular kinetics; viral dynamics with antiviral treatments; modeling of drug resistance and quasispecies.
Download or read book Population Dynamics and the Tribolium Model Genetics and Demography written by Robert F. Costantino and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of populations is becoming increasingly focused on dynamics. We believe there are two reasons for this trend. The ftrst is the impactof nonlinear dynamics with its exciting ideas and colorful language: bifurcations, domains of attraction, chaos, fractals, strange attractors. Complexity, which is so very much a part of biology, now seems to be also a part of mathematics. A second trend is the accessibility of the new concepts. Thebarriers tocommunicationbetween theoristandexperimentalistseemless impenetrable. The active participationofthe experimentalist means that the theory will obtain substance. Our role is the application of the theory of dynamics to the analysis ofbiological populations. We began our work early in 1979 by writing an ordinary differential equation for the rateofchange in adult numbers which was based on an equilibrium model proposed adecadeearlier. Duringthenextfewmonths weftlledournotebookswithstraightforward deductions from the model and its associated biological implications. Slowly, some of the biological observations were explained and papers followed on a variety of topics: genetic and demographic stability, stationary probability distributions for population size,population growth asabirth-deathprocess, natural selectionanddensity-dependent population growth, genetic disequilibrium, and the stationary stochastic dynamics of adult numbers.
Download or read book Applied Quantitative Methods for Trading and Investment written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 2004-01-09 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Download or read book Applied Optimal Estimation written by The Analytic Sciences Corporation and published by MIT Press. This book was released on 1974-05-15 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book on the optimal estimation that places its major emphasis on practical applications, treating the subject more from an engineering than a mathematical orientation. Even so, theoretical and mathematical concepts are introduced and developed sufficiently to make the book a self-contained source of instruction for readers without prior knowledge of the basic principles of the field. The work is the product of the technical staff of The Analytic Sciences Corporation (TASC), an organization whose success has resulted largely from its applications of optimal estimation techniques to a wide variety of real situations involving large-scale systems. Arthur Gelb writes in the Foreword that "It is our intent throughout to provide a simple and interesting picture of the central issues underlying modern estimation theory and practice. Heuristic, rather than theoretically elegant, arguments are used extensively, with emphasis on physical insights and key questions of practical importance." Numerous illustrative examples, many based on actual applications, have been interspersed throughout the text to lead the student to a concrete understanding of the theoretical material. The inclusion of problems with "built-in" answers at the end of each of the nine chapters further enhances the self-study potential of the text. After a brief historical prelude, the book introduces the mathematics underlying random process theory and state-space characterization of linear dynamic systems. The theory and practice of optimal estimation is them presented, including filtering, smoothing, and prediction. Both linear and non-linear systems, and continuous- and discrete-time cases, are covered in considerable detail. New results are described concerning the application of covariance analysis to non-linear systems and the connection between observers and optimal estimators. The final chapters treat such practical and often pivotal issues as suboptimal structure, and computer loading considerations. This book is an outgrowth of a course given by TASC at a number of US Government facilities. Virtually all of the members of the TASC technical staff have, at one time and in one way or another, contributed to the material contained in the work.
Download or read book Metal Ecotoxicology Concepts and Applications written by Michael C. Newman and published by CRC Press. This book was released on 2020-11-25 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an in-depth discussion of various aspects of metal ecotoxicology. State-of-the-art information and techniques in areas ranging from metal behavior in surface waters to bioaccumulation kinetics and toxicokinetics to community effects are presented in a hierarchical arrangement. Specific topics discussed include metals in abiotic components of ecosystems, autecology (effects of metals relative to the individual or a single species), and metals in marine and freshwater systems in the context of synecology (species associated and interacting as a unit). This is an important book that will be useful to researchers, risk assessment consultants, regulatory personnel, and teachers and students.
Download or read book An Author and Permuted Title Index to Selected Statistical Journals written by Brian L. Joiner and published by . This book was released on 1970 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: All articles, notes, queries, corrigenda, and obituaries appearing in the following journals during the indicated years are indexed: Annals of mathematical statistics, 1961-1969; Biometrics, 1965-1969#3; Biometrics, 1951-1969; Journal of the American Statistical Association, 1956-1969; Journal of the Royal Statistical Society, Series B, 1954-1969,#2; South African statistical journal, 1967-1969,#2; Technometrics, 1959-1969.--p.iv.
Download or read book ARCH Models and Financial Applications written by Christian Gourieroux and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.
Download or read book Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability Volume IV written by Jerzy Neyman and published by Univ of California Press. This book was released on 2023-11-15 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability written by Jerzy Neyman and published by Univ of California Press. This book was released on 1956 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1985 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Processes and Applications written by Grigorios A. Pavliotis and published by Springer. This book was released on 2014-11-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents various results and techniques from the theory of stochastic processes that are useful in the study of stochastic problems in the natural sciences. The main focus is analytical methods, although numerical methods and statistical inference methodologies for studying diffusion processes are also presented. The goal is the development of techniques that are applicable to a wide variety of stochastic models that appear in physics, chemistry and other natural sciences. Applications such as stochastic resonance, Brownian motion in periodic potentials and Brownian motors are studied and the connection between diffusion processes and time-dependent statistical mechanics is elucidated. The book contains a large number of illustrations, examples, and exercises. It will be useful for graduate-level courses on stochastic processes for students in applied mathematics, physics and engineering. Many of the topics covered in this book (reversible diffusions, convergence to equilibrium for diffusion processes, inference methods for stochastic differential equations, derivation of the generalized Langevin equation, exit time problems) cannot be easily found in textbook form and will be useful to both researchers and students interested in the applications of stochastic processes.
Download or read book Probability Theory and Mathematical Statistics written by B. Grigelionis and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-05 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Probability Theory and Mathematical Statistics".
Download or read book Encyclopedia of Mathematical Geosciences written by B. S. Daya Sagar and published by Springer Nature. This book was released on 2023-07-13 with total page 1744 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Encyclopedia of Mathematical Geosciences is a complete and authoritative reference work. It provides concise explanation on each term that is related to Mathematical Geosciences. Over 300 international scientists, each expert in their specialties, have written around 350 separate articles on different topics of mathematical geosciences including contributions on Artificial Intelligence, Big Data, Compositional Data Analysis, Geomathematics, Geostatistics, Geographical Information Science, Mathematical Morphology, Mathematical Petrology, Multifractals, Multiple Point Statistics, Spatial Data Science, Spatial Statistics, and Stochastic Process Modeling. Each topic incorporates cross-referencing to related articles, and also has its own reference list to lead the reader to essential articles within the published literature. The entries are arranged alphabetically, for easy access, and the subject and author indices are comprehensive and extensive.
Download or read book International Aerospace Abstracts written by and published by . This book was released on 1999 with total page 1044 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bulletin Institute of Mathematical Statistics written by Institute of Mathematical Statistics and published by . This book was released on 1994 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt:
