Springer.Statistical.Tools.For.Finance.And.Insurance.[2005.Isbn3540221891]

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1、1StatisticalToolsinFinancePavelC´ıˇzek,WolfgangH¨ardle,RafaelWeronˇAugust6,20032ContentsIFinance71Stabledistributionsinfinance9SzymonBorak,WolfgangH¨ardle,RafalWeron1.1Introduction.............................91.2α-stabledistributions........................101.2.1Characteristicfunctionrep

2、resentation..........101.2.2Computingα-stabledistributions.............151.2.3Simulationofα-stablevariables..............161.2.4Tailbehavior........................171.3Estimationofparameters.....................191.3.1Tailexponentestimation.................191.3.2SampleQuantilesMethods..

3、..............201.3.3SampleCharacteristicFunctionMethods........231.4Financialapplicationsofα-stablelaws..............262Taildependence33RafaelSchmidt2.1Taildependenceandcopulae...................334Contents2.2Calculatingthetail-dependencecoefficient............362.2.1Archimedeancopulae....

4、...............362.2.2Ellipticallycontoureddistributions............372.2.3Othercopulae........................402.3Estimatingthetail-dependencecoefficient............432.4Estimationandempiricalresults.................45Bibliography...............................533FuzzyIdentificationModel55

5、NoerAzamAchsani,HizirSofyan3.1Introduction.............................553.2MoneyDemand...........................573.3Takagi-SugenoApproach......................583.4FuzzyC-Means...........................593.5ModelIdentification........................603.6CaseStudy:IndonesianMoneyDemand

6、.............613.7Conclusions.............................63Bibliography...............................654ImpliedTrinomialTrees67KarelKomor´ad4.1Introduction.............................674.2BasicOptionPricingOverview..................694.3TreesandImpliedModels.....................714.4IT

7、T’sandTheirConstruction...................744.4.1Basicinsight........................744.4.2Statespace.........................76Contents54.4.3Transitionprobabilities..................784.4.4Possiblepitfalls.......................794.4.5Illustrativeexamples.........