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Recent Developments in Applied Probability and Statistics: Dedicated to the Memory of Jürgen Lehn

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This book presents surveys on recent developments in applied probability and statistics. The contributions include topics such as nonparametric regression and density estimation, option pricing, probabilistic methods for multivariate interpolation, robust graphical modelling and stochastic differential equations. Due to its broad coverage of different topics the book offers an excellent overview of recent developments in applied probability and statistics.

Author(s): Luc Devroye (auth.), Luc Devroye, Bülent Karasözen, Michael Kohler, Ralf Korn (eds.)
Edition: 1
Publisher: Physica-Verlag Heidelberg
Year: 2010

Language: English
Pages: 235
Tags: Probability Theory and Stochastic Processes; Statistical Theory and Methods; Probability and Statistics in Computer Science

Front Matter....Pages I-XII
On Exact Simulation Algorithms for Some Distributions Related to Brownian Motion and Brownian Meanders....Pages 1-35
A Review on Regression-based Monte Carlo Methods for Pricing American Options....Pages 37-58
Binomial Trees in Option Pricing—History, Practical Applications and Recent Developments....Pages 59-77
Uncertainty in Gaussian Process Interpolation....Pages 79-102
On the Inversive Pseudorandom Number Generator....Pages 103-125
Strong and Weak Approximation Methods for Stochastic Differential Equations—Some Recent Developments....Pages 127-153
On Robust Gaussian Graphical Modeling....Pages 155-182
Strong Laws of Large Numbers and Nonparametric Estimation....Pages 183-214
Institute of Applied Mathematics at Middle East Technical University, Ankara (Panel Discussion Contribution)....Pages 215-221
Financial Mathematics: Between Stochastic Differential Equations and Financial Crisis (Panel Discussion Contribution)....Pages 223-227
Computational Science and Engineering Education Programs in Germany (Panel Discussion Contribution)....Pages 229-235