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From Statistics to Mathematical Finance

Festschrift in Honour of Winfried Stute

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

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Survival Analysis

    1. Front Matter
      Pages 1-1
    2. Thomas A. Gerds, Jan Beyersmann, Liis Starkopf, Sandra Frank, Mark J. van der Laan, Martin Schumacher
      Pages 25-41
    3. Gerhard Dikta
      Pages 43-56
  3. Model Checks

    1. Front Matter
      Pages 69-69
    2. Miguel A. Delgado, Juan Carlos Escanciano
      Pages 71-87
    3. Wenceslao González-Manteiga, Jorge Passamani Zubelli, Abelardo Monsalve-Cobis, Manuel Febrero-Bande
      Pages 89-104
  4. Asymptotic Nonparametric Statistics and Change-Point Problems

  5. Mathematical Finance

    1. Front Matter
      Pages 343-343
    2. Ludger Rüschendorf
      Pages 345-366
    3. Thorsten Schmidt
      Pages 367-385
    4. Patrick Bäurer, Ernst Eberlein
      Pages 387-416
  6. Gender Gap Analysis

    1. Front Matter
      Pages 427-427
    2. María Paz Espinosa, Eva Ferreira
      Pages 429-440

About this book

Introduction

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.

Keywords

statistical methods stochastic processes statistical modeling mathematical finance insurance mathematics survival analysis shot-noise processes filtering estimation regression nonparametric statistical methods risk bounds volatility models

Editors and affiliations

  • Dietmar Ferger
    • 1
  • Wenceslao González Manteiga
    • 2
  • Thorsten Schmidt
    • 3
  • Jane-Ling Wang
    • 4
  1. 1.Institute of Mathematical StochasticsTechnische Universität DresdenDresdenGermany
  2. 2.Faculty of MathematicsUniversity of Santiago de CompostelaSantiago de CompostelaSpain
  3. 3.Institute of MathematicsUniversity of FreiburgFreiburgGermany
  4. 4.Department of StatisticsUniversity of CaliforniaDavisUSA

Bibliographic information