Applied Quantitative Finance

[1]  Wolfgang K. Härdle,et al.  The Dynamics of Implied Volatilities: A Common Principal Components Approach , 2003 .

[2]  Alexander J. McNeil,et al.  Dependent defaults in models of portfolio credit risk , 2003 .

[3]  W. Härdle,et al.  Applied Multivariate Statistical Analysis , 2003 .

[4]  Christian M. Hafner,et al.  Analytical quasi maximum likelihood inference in multivariate volatility models , 2003 .

[5]  W. Härdle,et al.  Bootstrap Methods for Time Series , 2003 .

[6]  S. Rachev.  Handbook of heavy tailed distributions in finance , 2003 .

[7]  Offer Lieberman,et al.  Asymptotic theory for multivariate GARCH processes , 2003 .

[8]  P. Embrechts,et al.  Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management , 2003 .

[9]  O. Scaillet,et al.  Nonparametric Estimation of Copulas for Time Series , 2002 .

[10]  T. Bedford,et al.  Vines: A new graphical model for dependent random variables , 2002 .

[11]  Hans-Peter Deutsch,et al.  Derivatives and Internal Models , 2002 .

[12]  Trading on Deviations of Implied and Historical Densities , 2002 .

[13]  W. Härdle,et al.  An Empirical Likelihood Goodness-of-Fit Test for Diffusions , 2002 .

[14]  How Precise Are Price Distributions Predicted by Implied Binomial Trees , 2002 .

[15]  P. Embrechts,et al.  Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .

[16]  Heiko Lehmann.  Client/Server based Statistical Computing , 2002, Comput. Stat..

[17]  N. H. Bingham,et al.  Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives , 2001 .

[18]  Hizir Sofyan,et al.  Analyzing XploRe Download Profiles with Intelligent Miner , 2001, Comput. Stat..

[19]  Yacine Aït-Sahalia,et al.  Do option markets correctly price the probabilities of movement of the underlying asset , 2001 .

[20]  Jürgen Franke,et al.  Einführung in die Statistik der Finanzmärkte , 2001 .

[21]  Dynamic Nonparametric State Price Density Estimation , 2001 .

[22]  Michel Crouhy,et al.  Prototype risk rating system , 2001 .

[23]  Alexander J. McNeil,et al.  Modelling dependent defaults , 2001 .

[24]  Erich Neuwirth,et al.  Embedding R in Standard Software, and the other way round , 2001 .

[25]  XploRe® - Application Guide , 2000 .

[26]  Kenneth F. Wallis,et al.  Density Forecasting: A Survey , 2000 .

[27]  R. Hafner,et al.  The Dynamics of DAX Implied Volatilities , 2000 .

[28]  Cliff T Ragsdale,et al.  On modeling time series data using spreadsheets , 2000 .

[29]  F. Longin,et al.  Extreme Correlation of International Equity Markets , 2000 .

[30]  Martin T. Wells,et al.  Model Selection and Semiparametric Inference for Bivariate Failure-Time Data , 2000 .

[31]  James M. Lucas,et al.  Fast Initial Response for CUSUM Quality-Control Schemes: Give Your CUSUM A Head Start , 2000, Technometrics.

[32]  Richard J. Beckman,et al.  A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output From a Computer Code , 2000, Technometrics.

[33]  N. Barberis.  Investing for the Long Run When Returns are Predictable , 2000 .

[34]  Phhilippe Jorion.  Value at Risk: The New Benchmark for Managing Financial Risk , 2000 .

[35]  W. Perraudin,et al.  Stability of ratings transitions , 2001 .

[36]  W. Härdle,et al.  XploRe Learning Guide , 1999 .

[37]  Jens Carsten Jackwerth,et al.  Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review , 1999 .

[38]  A. Saunders.  Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms , 1999 .

[39]  Jurgen A. Doornik,et al.  Statistical algorithms for models in state space using SsfPack 2.2 , 1999 .

[40]  R. Nelsen.  An Introduction to Copulas , 1998 .

[41]  Martin Weber,et al.  Bank behavior based on internal credit ratings of borrowers , 1998 .

[42]  Sven Knoth.  Quasi-stationarity of CUSUM schemes for Erlang distributions , 1998 .

[43]  Alan G. White,et al.  INCORPORATING VOLATILITY UPDATING INTO THE HISTORICAL SIMULATION METHOD FOR VALUE AT RISK , 1998 .

[44]  Nusret Cakici,et al.  How to Grow a Smiling Tree , 1998 .

[45]  A. Lo,et al.  Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices , 1998 .

[46]  Thierry Jeantheau,et al.  STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS , 1998, Econometric Theory.

[47]  Emiliano A. Valdez,et al.  Understanding Relationships Using Copulas , 1998 .

[48]  Emanuel Derman,et al.  STOCHASTIC IMPLIED TREES: ARBITRAGE PRICING WITH STOCHASTIC TERM AND STRIKE STRUCTURE OF VOLATILITY , 1998 .

[49]  Wolfgang Karl Härdle,et al.  Local polynomial estimators of the volatility function in nonparametric autoregression , 1997 .

[50]  D. Ruppert.  Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation , 1997 .

[51]  David Ruppert,et al.  Local polynomial variance-function estimation , 1997 .

[52]  Bhupinder Bahra.  Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application , 1997 .

[53]  R. Jarrow,et al.  A Markov Model for the Term Structure of Credit Risk Spreads , 1997 .

[54]  William R. Melick,et al.  Recovering an Asset's Implied PDF from Option Prices: An Application to Crude Oil during the Gulf Crisis , 1997, Journal of Financial and Quantitative Analysis.

[55]  John T. Kent,et al.  Estimating the Fractal Dimension of a Locally Self-similar Gaussian Process by using Increments , 1997 .

[56]  Cameron Rookley.  Fully Exploiting the Information Content of Intra Day Option Quotes: Applications in Option Pricing , 1997 .

[57]  M. Rubinstein.,et al.  Recovering Probability Distributions from Option Prices , 1996 .

[58]  Veda C. Storey,et al.  The use of spreadsheets in organizations: Determinants and consequences , 1996, Inf. Manag..

[59]  Linda Leon,et al.  Spreadsheets and OR/MS Models: An End-User Perspective , 1996 .

[60]  H. Joe.  Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters , 1996 .

[61]  Denis Bosq,et al.  Nonparametric statistics for stochastic processes , 1996 .

[62]  Andrew W. Lo,et al.  Nonparametric estimation of state-price densities implicit in financial asset prices , 1995, Proceedings of 1995 Conference on Computational Intelligence for Financial Engineering (CIFEr).

[63]  R. Engle,et al.  Multivariate Simultaneous Generalized ARCH , 1995, Econometric Theory.

[64]  J. Davidson.  Stochastic Limit Theory , 1994 .

[65]  M. Rubinstein..  Implied Binomial Trees , 1994 .

[66]  Bruno Dupire.  Pricing with a Smile , 1994 .

[67]  D. Florens-zmirou.  On estimating the diffusion coefficient from discrete observations , 1993, Journal of Applied Probability.

[68]  C. Genest,et al.  Statistical Inference Procedures for Bivariate Archimedean Copulas , 1993 .

[69]  Andrew T. A. Wood,et al.  On the performance of box-counting estimators of fractal dimension , 1993 .

[70]  W. Härdle.  Applied Nonparametric Regression , 1992 .

[71]  J. Wooldridge,et al.  Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances , 1992 .

[72]  Daniel B. Nelson.  CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .

[73]  T. Bollerslev,et al.  Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model , 1990 .

[74]  Ronald W. Masulis,et al.  Correlations in Price Changes and Volatility Across International Stock Markets , 1990 .

[75]  Andrew C. Harvey,et al.  Forecasting, structural time series models and the Kalman filter: Selected answers to exercises , 1990 .

[76]  James M. Lucas,et al.  Exponentially weighted moving average control schemes: Properties and enhancements , 1990 .

[77]  Fern Y. Hunt.  Error analysis and convergence of capacity dimension algorithms , 1990 .

[78]  Tony Lancaster,et al.  The Econometric Analysis of Transition Data. , 1992 .

[79]  A. Lo.  Long-Term Memory in Stock Market Prices , 1989 .

[80]  Stephen Figlewski,et al.  Estimation of the Optimal Futures Hedge , 1988 .

[81]  Robert F. Engle,et al.  Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market , 1988 .

[82]  J. Wooldridge,et al.  A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.

[83]  Michael F. Barnsley,et al.  Fractals everywhere , 1988 .

[84]  S. Crowder.  A simple method for studying run-length distribution of exponentially weighted moving average charts , 1987 .

[85]  Alan G. White,et al.  The Pricing of Options on Assets with Stochastic Volatilities , 1987 .

[86]  K. Waldmann,et al.  Bounds to the distribution of the run length in general quality-control schemes , 1986 .

[87]  Ronald B. Crosier,et al.  A new two-sided cumulative sum quality control scheme , 1986 .

[88]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[89]  D. Siegmund,et al.  A diffusion process and its applications to detecting a change in the drift of Brownian motion , 1984 .

[90]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[91]  E. Elton.  Modern portfolio theory and investment analysis , 1981 .

[92]  S. Ross,et al.  Option pricing: A simplified approach☆ , 1979 .

[93]  M. Rubinstein..  Nonparametric tests of alternative option pricing models using all reported trades and quotes on the , 1985 .

[94]  R. Lucas.  ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .

[95]  Douglas T. Breeden,et al.  Prices of State-Contingent Claims Implicit in Option Prices , 1978 .

[96]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .

[97]  James M. Lucas,et al.  The Design and Use of V-Mask Control Schemes , 1976 .

[98]  Mark Rubinstein,et al.  The Valuation of Uncertain Income Streams and the Pricing of Options , 1976 .

[99]  D. Siegmund,et al.  APPROXIMATIONS TO THE EXPECTED SAMPLE SIZE OF CERTAIN SEQUENTIAL TESTS , 1975 .

[100]  Stephen E. Fienberg,et al.  Discrete Multivariate Analysis: Theory and Practice , 1976 .

[101]  Bronwyn H Hall,et al.  Estimation and Inference in Nonlinear Structural Models , 1974 .

[102]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[103]  D. A. Evans,et al.  An approach to the probability distribution of cusum run length , 1972 .

[104]  G. Lorden.  PROCEDURES FOR REACTING TO A CHANGE IN DISTRIBUTION , 1971 .

[105]  A. W. Davis,et al.  Generalized Asymptotic Expansions of Cornish-Fisher Type , 1968 .

[106]  K. Arrow.  The Role of Securities in the Optimal Allocation of Risk-bearing , 1964 .

[107]  G. Debreu,et al.  Theory of Value , 1959 .

[108]  M. Sklar.  Fonctions de repartition a n dimensions et leurs marges , 1959 .

[109]  M. Rosenblatt.  Remarks on a Multivariate Transformation , 1952 .

[110]  W. Shewhart.  The Economic Control of Quality of Manufactured Product. , 1932 .