From Statistics to Mathematical Finance : Festschrift in Honour of Winfried Stute

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. Front Matter ....Pages i-xiii Front Matter ....Pages 1-1 An Odyssey to Incomplete Data: Winfried Stute’s Contribution to Survival Analysis (Jane-Ling Wang)....Pages 3-23 The Kaplan-Meier Integral in the Presence of Covariates: A Review (Thomas A. Gerds, Jan Beyersmann, Liis Starkopf, Sandra Frank, Mark J. van der Laan, Martin Schumacher)....Pages 25-41 Semi-parametric Random Censorship Models (Gerhard Dikta)....Pages 43-56 Nonparametric Estimation of an Event-Free Survival Distribution Under Cross-Sectional Sampling (Jacobo de Uña-Álvarez)....Pages 57-67 Front Matter ....Pages 69-69 On the Asymptotic Efficiency of Directional Models Checks for Regression (Miguel A. Delgado, Juan Carlos Escanciano)....Pages 71-87 Goodness–of–Fit Test for Stochastic Volatility Models (Wenceslao González-Manteiga, Jorge Passamani Zubelli, Abelardo Monsalve-Cobis, Manuel Febrero-Bande)....Pages 89-104 A Review on Dimension-Reduction Based Tests For Regressions (Xu Guo, Lixing Zhu)....Pages 105-125 Front Matter ....Pages 127-127 Asymptotic Tail Bounds for the Dempfle-Stute Estimator in General Regression Models (Dietmar Ferger)....Pages 129-156 On Empirical Distribution Functions Under Auxiliary Information (Erich Haeusler)....Pages 157-172 A Review and Some New Proposals for Bandwidth Selection in Nonparametric Density Estimation for Dependent Data (Inés Barbeito, Ricardo Cao)....Pages 173-208 Estimating the Error Distribution in a Single-Index Model (Hira L. Koul, Ursula U. Müller, Anton Schick)....Pages 209-233 Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests (Nino Kordzakhia, Alexander Novikov)....Pages 235-250 Nonparametric Stopping Rules for Detecting Small Changes in Location and Scale Families (P. K. Bhattacharya, Hong Zhou)....Pages 251-271 Change Point Detection with Multivariate Observations Based on Characteristic Functions (Zdeněk Hlávka, Marie Hušková, Simos G. Meintanis)....Pages 273-290 Kader—An R Package for Nonparametric Kernel Adjusted Density Estimation and Regression (Gerrit Eichner)....Pages 291-315 Limiting Experiments and Asymptotic Bounds on the Performance of Sequence of Estimators (Debasis Bhattacharya, George G. Roussas)....Pages 317-342 Front Matter ....Pages 343-343 Risk Bounds and Partial Dependence Information (Ludger Rüschendorf)....Pages 345-366 Shot-Noise Processes in Finance (Thorsten Schmidt)....Pages 367-385 A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Patrick Bäurer, Ernst Eberlein)....Pages 387-416 Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model (L. Overbeck, J. Weckend)....Pages 417-425 Front Matter ....Pages 427-427 Hierarchical Organizations and Glass Ceiling Effects (María Paz Espinosa, Eva Ferreira)....Pages 429-440