Center for Research in Financial Mathematics and Statistics

The Centre for Research in Economics and Statistics

Markus Sagebiel

StatAlgo

Quantitative Value: A Practitioner's Guide to Automating Intelligent Investment and Eliminating Behavioral Errors, + Web Site

Wiley Finance Books

CAIA Level II: Advanced Core Topics in Alternative Investments, 2nd Edition

Wiley Finance Books

Mathematics of the Financial Markets

Wiley Finance Books

Mathematics and Statistics for Financial Risk Management

Wiley Finance Books

News: Option pricing with time-changed Lévy processes

9 hours ago - Taylor and Francis: Applied Financial Economics: Table of Contents

Applied Financial Economics, Volume 23, Issue 15, Page 1231-1238, August 2013.

Blog: Option pricing with time-changed Lévy processes

Applied Financial Economics 9 hours ago

Blog: Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty. (arXiv:1306.4070v1 [q-fin.PR])

Quantitative Finance at arXiv 18 hours ago

News: Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty. (arXiv:1306.4070v1 [q-fin.PR])

18 hours ago - q-fin updates on arXiv.org

G-framework is presented by Peng [41] for measure risk under uncertainty. In this paper, we define fractional G-Brownian motion (fGBm). Fractional G-Brownian motion is a cente...

News: VIDEO: UK inflation rate rises to 2.7%

23 hours ago - BBC News - Business

The rate of consumer price index (CPI) inflation increased to 2.7% in May, up from 2.4% in April, the Office for National Statistics (ONS) has said.

News: UK inflation rate rises to 2.7%

yesterday - BBC News - Business

The rate of consumer price index (CPI) inflation increased to 2.7% in May, up from 2.4% in April, the Office for National Statistics (ONS) says.

Blog: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots. (arXiv:1306.3923v1 [math.PR])

Quantitative Finance at arXiv 2 days ago

News: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots. (arXiv:1306.3923v1 [math.PR])

2 days ago - q-fin updates on arXiv.org

In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in partic...

Blog: Brownian markets. (arXiv:1010.2061v7 [q-fin.ST] UPDATED)

Quantitative Finance at arXiv 3 days ago

Blog: Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions. (arXiv:1306.3479v1 [q-fin.RM])

Quantitative Finance at arXiv 3 days ago