Download e-book for kindle: Breakthroughs in Statistics I: Foundations and basic theory by Samuel Kotz, Norman Lloyd Johnson

By Samuel Kotz, Norman Lloyd Johnson

ISBN-10: 0387940375

ISBN-13: 9780387940373

It is a quantity selection of seminal papers within the statistical sciences written in the past a hundred years. those papers have each one had a good impression at the improvement of statistical idea and perform over the past century. each one paper is preceded by means of an advent written via an expert within the box offering historical past details and assessing its effect. Readers will get pleasure from a clean outlook on now well-established positive factors of statistical strategies and philosophy through changing into accustomed to the methods they've been built. it really is was hoping that a few readers can be inspired to check a few of the references supplied within the Introductions (and additionally within the papers themselves) and so reach a deeper historical past wisdom of the foundation in their paintings.

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Extra info for Breakthroughs in Statistics I: Foundations and basic theory

Sample text

3 The “Testing Plan” for Volatilities . . . . . . . . . . . . 4 Test Results for Volatilities . . . . . . . . . . . . . . . 1 Case (1): Constant Instantaneous Volatilities . . . . . 5 The “Testing Plan” for Terminal Correlations . . . . . . . 6 Test Results for Terminal Correlations . . . . . . . . . . 1 Case (i): Humped and Maturity-Adjusted Instantaneous Volatilities Depending only on Time to Maturity, Typical Rank-Two Correlations . . . . . .

4 Forward Rates . . . . . . . . . . . . . . . . . . . . . 5 Interest-Rate Swaps and Forward Swap Rates . . . . . . . 6 Interest-Rate Caps/Floors and Swaptions . . . . . . . . . 16 2. No-Arbitrage Pricing and Numeraire Change . . . . . . . 1 No-Arbitrage in Continuous Time . . . . . . . . . . . . 2 The Change-of-Numeraire Technique . . . . . . . . . . . 3 A Change of Numeraire Toolkit (Brigo & Mercurio 2001c) .

3 Cap Quotes in the Market . . . . . . . . . . . . . 5 The Term Structure of Volatility . . . . . . . . . . . . . 2 Parametric Volatility Structures . . . . . . . . . . 6 Instantaneous Correlation and Terminal Correlation . . . . 7 Swaptions and the Lognormal Forward-Swap Model (LSM) . 1 Swaptions Hedging . . . . . . . . . . . . . . . . 2 Cash-Settled Swaptions . . . . . . . . . . . . . . 8 Incompatibility between the LFM and the LSM .

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Breakthroughs in Statistics I: Foundations and basic theory by Samuel Kotz, Norman Lloyd Johnson


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