Thomas Mikosch's Books

Non-Life Insurance Mathematics

An Introduction with the Poisson Process

By: Thomas Mikosch

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Non-Life Insurance Mathematics

An Introduction with the Poisson Process

By: Thomas Mikosch

Offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties....The reader gets to know how the underlying probabilistic structures allow one to determine premiums in a portfolio or in an individual policy." --Zentralblatt für Didaktik der Mathematik

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435

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540882332

ISBN 13

9783540882336

Modelling Extremal Events

for Insurance and Finance

By: Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch

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Modelling Extremal Events

for Insurance and Finance

By: Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch

A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

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657

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Springer Science & Business Media

Published Date

ISBN 10

3642334830

ISBN 13

9783642334832

Non-Life Insurance-Linked Securities: Risk and Pricing Analysis

By: Thomas Nowak

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Non-Life Insurance-Linked Securities: Risk and Pricing Analysis

By: Thomas Nowak

Unter Insurance-Linked Securities (ILS) versteht man innovative Finanzprodukte, welche Versicherungsrisiken aus den eng abgegrenzten Märkten der Erst- und Rückversicherungswirtschaft herauslösen und mittels Verbriefung auf Kapitalmärkten handelbar machen. Durch ILS erhalten Investoren die Möglichkeit, für die Bereitstellung von Deckungskapital in Versicherungsrisiken zu investieren und im Gegenzug eine Versicherungsprämie zu erhalten. Hierbei verfolgt das Werk zwei Ziele. Zum Einen, die Durchführung einer genauen Analyse der zugrunde liegenden Zahlungsströme, der beworbenen Eigenschaften und jener Risiken, welche mit einer Investition in ILS verbunden sind. Zum Anderen, die Überprüfung der Anwendbarkeit und Passgenauigkeit vorgeschlagener versicherungsmathematischer und marktorientierter Bewertungsverfahren für ILS sowie die Unterbreitung möglicher Vorschläge für Bewertungsverfahren. Da ILS regelmäßig dazu verwendet werden Extremrisiken zu verbriefen, werden beide Untersuchungen unter expliziter Berücksichtigung der statistischen Eigenschaften von Extremrisiken durchgeführt. Im Ergebnis lässt sich festhalten, dass ILS Investitionen mit eigenen Spezifika darstellen. Investoren sollten diese kennen und berücksichtigen. Dies gilt gerade vor dem Hintergrund der stetig steigenden Zahl von ILS, welche insbesondere in den Zeiten der Niedrigzinsphase als attraktives Investment gesehen werden. Das Buch richtet sich an Investoren und Interessierte, die sich über ILS als Investitionen und deren Bewertung informieren möchten.

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Page Count

316

Publisher

VVW GmbH

Published Date

ISBN 10

3899528387

ISBN 13

9783899528381

Heavy Tailed Functional Time Series

By: Thomas Meinguet

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Heavy Tailed Functional Time Series

By: Thomas Meinguet

The goal of this thesis is to treat the temporal tail dependence and the cross-sectional tail dependence of heavy tailed functional time series. Functional time series are aimed at modelling spatio-temporal phenomena; for instance rain, temperature, pollution on a given geographical area, with temporally dependent observations. Heavy tails mean that the series can exhibit much higher spikes than with Gaussian distributions for instance. In such cases, second moments cannot be assumed to exist, violating the basic assumption in standard functional data analysis based on the sequence of autocovariance operators. As for random variables, regular variation provides the mathematical backbone for a coherent theory of extreme values. The main tools introduced in this thesis for a regularly varying functional time series are its tail process and its spectral process. These objects capture all the aspects of the probability distribution of extreme values jointly over time and space. The development of the tail and spectral process for heavy tailed functional time series is followed by three theoretical applications. The first application is a characterization of a variety of indices and objects describing the extremal behavior of the series: the extremal index, tail dependence coefficients, the extremogram and the point process of extremes. The second is the computation of an explicit expression of the tail and spectral processes for heavy tailed linear functional time series. The third and final application is the introduction and the study of a model for the spatio-temporal dependence for functional time series called maxima of moving maxima of continuous functions (CM3 processes), with the development of an estimation method.

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Page Count

173

Publisher

Presses univ. de Louvain

Published Date

ISBN 10

287463235X

ISBN 13

9782874632358

The Silent Attack

The Taking of the Bridges at Veldwezelt, Vroenhoven and Kanne in Belgium by German Paratroops, 10 May 1940

By: Oscar Gonzalez,Thomas Steinke,Ian Tannahill

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The Silent Attack

The Taking of the Bridges at Veldwezelt, Vroenhoven and Kanne in Belgium by German Paratroops, 10 May 1940

By: Oscar Gonzalez,Thomas Steinke,Ian Tannahill

Much has been written about the capture of Fort Eben Emael Belgium by German paratroopers, on May 10, 1940. This operation marked the first use of gliders and shaped charges, while proved possible drop paratroopers behind enemy lines. The training, secret, accuracy and speed, in addition to the element of surprise, these men became lethal, causing chaos among Belgian soldiers.??However, it should be stressed that these paratroopers were part of a larger group: The Sturmablteilung Koch (Koch Assault Group), the elite of the Luftwaffe in 1940, whose mission was not only to take Eben Emael, but also the three bridges over the Alberto canal near: Veldwezelt, Vroenhoven and Kanne. The success of the attack on Belgium and France would depend on the rapid conquest of those bridges.??The aim of this book is to show how it was planned and carried out the assault on the Albert Canal bridges. All this not only through a supported text documents, records and evidence, but also by many photos never published until now. Every detail, from the creation of the Koch Assault Group, until the final attack, has been closely scrutinized by reference to the best sources, as well as testimonies of Belgian and German soldiers.??About the authors: scar Gonzàlez LÑpez has a degree in Philosophy and teaches History and Philosophy. As a military historian his research has focused on the Fallschirmj_ger as well as the Spanish volunteers in the German Army during the Second World War, through close contact with many former veterans. Amongst other books, he has published Fallschirmj_ger at the Gran Sasso and German Paratroops in Scandinavia. He lives in Spain.??Thomas Steinke studied at the Otto-von-Guericke University in Magdeburg, Germany. He takes part in the 'Volksbund Dr. Kriegsgr_berfÙrsorge', being involved in the search and care of German War graves of the Second World War, as well as in educational activities whose main goal is to improve the mutual and peaceful understanding amongst the European people. The focus of his studies has long been German paratroopers, in particular the members of the Sturmabteilung Koch and the LL-Sturmregiment.??Ian Tannahill holds a Bachelor of Engineering degree from the University of Queensland, Australia, and is a registered patent and trade mark attorney. His interest in the Fallschirmj_ger was sparked by an article he read as a teenager on the fall of the fortress of Eben Emael. His contact with former German paratroopers ignited a desire within Ian to tell the world about the capture of the Albert Kanal bridges by the Fallschirmj_ger and glider pilots of Sturmabteilung Koch.

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Page Count

402

Publisher

Pen and Sword

Published Date

ISBN 10

178159385X

ISBN 13

9781781593851

Hurricane Climatology

A Modern Statistical Guide Using R

By: James B. Elsner,Thomas H. Jagger

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Hurricane Climatology

A Modern Statistical Guide Using R

By: James B. Elsner,Thomas H. Jagger

Hurricanes are nature's most destructive storms and they are becoming more powerful as the globe warms. Hurricane Climatology explains how to analyze and model hurricane data to better understand and predict present and future hurricane activity. It uses the open-source and now widely used R software for statistical computing to create a tutorial-style manual for independent study, review, and reference. The text is written around the code that when copied will reproduce the graphs, tables, and maps. The approach is different from other books that use R. It focuses on a single topic and explains how to make use of R to better understand the topic. The book is organized into two parts, the first of which provides material on software, statistics, and data. The second part presents methods and models used in hurricane climate research.

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Page Count

390

Publisher

Oxford University Press

Published Date

ISBN 10

0199324069

ISBN 13

9780199324064

Statistical Analysis of Extreme Values

from Insurance, Finance, Hydrology and Other Fields

By: Rolf-Dieter Reiss,Michael Thomas

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Statistical Analysis of Extreme Values

from Insurance, Finance, Hydrology and Other Fields

By: Rolf-Dieter Reiss,Michael Thomas

The statistical analysis of extreme data is important for various disciplines, including hydrology, insurance, finance, engineering and environmental sciences. This book provides a self-contained introduction to the parametric modeling, exploratory analysis and statistical interference for extreme values. The entire text of this third edition has been thoroughly updated and rearranged to meet the new requirements. Additional sections and chapters, elaborated on more than 100 pages, are particularly concerned with topics like dependencies, the conditional analysis and the multivariate modeling of extreme data. Parts I–III about the basic extreme value methodology remain unchanged to some larger extent, yet notable are, e.g., the new sections about "An Overview of Reduced-Bias Estimation" (co-authored by M.I. Gomes), "The Spectral Decomposition Methodology", and "About Tail Independence" (co-authored by M. Frick), and the new chapter about "Extreme Value Statistics of Dependent Random Variables" (co-authored by H. Drees). Other new topics, e.g., a chapter about "Environmental Sciences", (co--authored by R.W. Katz), are collected within Parts IV–VI.

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325

Publisher

Birkhäuser

Published Date

ISBN 10

3034863365

ISBN 13

9783034863360

Lévy Matters I

Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance

By: Thomas Duquesne,Oleg Reichmann,Ken-iti Sato,Christoph Schwab

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Lévy Matters I

Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance

By: Thomas Duquesne,Oleg Reichmann,Ken-iti Sato,Christoph Schwab

Focusing on the breadth of the topic, this volume explores Lévy processes and applications, and presents the state-of-the-art in this evolving area of study. These expository articles help to disseminate important theoretical and applied research to those studying the field.

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216

Publisher

Springer

Published Date

ISBN 10

3642140076

ISBN 13

9783642140075

The Oxford Guide to Financial Modeling

Applications for Capital Markets, Corporate Finance, Risk Management, and Financial Institutions

By: Thomas S. Y. Ho,Sang-bin Yi

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The Oxford Guide to Financial Modeling

Applications for Capital Markets, Corporate Finance, Risk Management, and Financial Institutions

By: Thomas S. Y. Ho,Sang-bin Yi

The Oxford Guide to Financial Modeling is accompanied by a companion web site that serves as an interactive workbook designed specifically for the book. This site is simple to use yet exceedingly robust with regard to its technological efficiency and purposeful usability. It is designed to further enhance understanding of the use and applications of the models referred to in the book and it is accessible free of charge at www.thomasho.com. This on-line workbook and resource tool contains more than 95 downloadable Excel models. The models provide clear expositions of the mathematical formulations and can be used along with the book. The companion web site is rich with a plethora of research and analytic tools designed for "doing finance" on-line.

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762

Published Date

ISBN 10

019516962X

ISBN 13

9780195169621

Vector Generalized Linear and Additive Models

With an Implementation in R

By: Thomas W. Yee

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Vector Generalized Linear and Additive Models

With an Implementation in R

By: Thomas W. Yee

This book presents a greatly enlarged statistical framework compared to generalized linear models (GLMs) with which to approach regression modelling. Comprising of about half-a-dozen major classes of statistical models, and fortified with necessary infrastructure to make the models more fully operable, the framework allows analyses based on many semi-traditional applied statistics models to be performed as a coherent whole. Since their advent in 1972, GLMs have unified important distributions under a single umbrella with enormous implications. However, GLMs are not flexible enough to cope with the demands of practical data analysis. And data-driven GLMs, in the form of generalized additive models (GAMs), are also largely confined to the exponential family. The methodology here and accompanying software (the extensive VGAM R package) are directed at these limitations and are described comprehensively for the first time in one volume. This book treats distributions and classical models as generalized regression models, and the result is a much broader application base for GLMs and GAMs. The book can be used in senior undergraduate or first-year postgraduate courses on GLMs or categorical data analysis and as a methodology resource for VGAM users. In the second part of the book, the R package VGAM allows readers to grasp immediately applications of the methodology. R code is integrated in the text, and datasets are used throughout. Potential applications include ecology, finance, biostatistics, and social sciences. The methodological contribution of this book stands alone and does not require use of the VGAM package.

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606

Publisher

Springer

Published Date

ISBN 10

149392818X

ISBN 13

9781493928187

Quantitative Risk Management, + Website

A Practical Guide to Financial Risk

By: Thomas S. Coleman

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Quantitative Risk Management, + Website

A Practical Guide to Financial Risk

By: Thomas S. Coleman

State of the art risk management techniques and practices—supplemented with interactive analytics All too often risk management books focus on risk measurement details without taking a broader view. Quantitative Risk Management delivers a synthesis of common sense management together with the cutting-edge tools of modern theory. This book presents a road map for tactical and strategic decision making designed to control risk and capitalize on opportunities. Most provocatively it challenges the conventional wisdom that "risk management" is or ever should be delegated to a separate department. Good managers have always known that managing risk is central to a financial firm and must be the responsibility of anyone who contributes to the profit of the firm. A guide to risk management for financial firms and managers in the post-crisis world, Quantitative Risk Management updates the techniques and tools used to measure and monitor risk. These are often mathematical and specialized, but the ideas are simple. The book starts with how we think about risk and uncertainty, then turns to a practical explanation of how risk is measured in today's complex financial markets. Covers everything from risk measures, probability, and regulatory issues to portfolio risk analytics and reporting Includes interactive graphs and computer code for portfolio risk and analytics Explains why tactical and strategic decisions must be made at every level of the firm and portfolio Providing the models, tools, and techniques firms need to build the best risk management practices, Quantitative Risk Management is an essential volume from an experienced manager and quantitative analyst.

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581

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118026586

ISBN 13

9781118026588

Handbook of Monte Carlo Methods

By: Dirk P. Kroese,Thomas Taimre,Zdravko I. Botev

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Handbook of Monte Carlo Methods

By: Dirk P. Kroese,Thomas Taimre,Zdravko I. Botev

A comprehensive overview of Monte Carlo simulation that explores the latest topics, techniques, and real-world applications More and more of today’s numerical problems found in engineering and finance are solved through Monte Carlo methods. The heightened popularity of these methods and their continuing development makes it important for researchers to have a comprehensive understanding of the Monte Carlo approach. Handbook of Monte Carlo Methods provides the theory, algorithms, and applications that helps provide a thorough understanding of the emerging dynamics of this rapidly-growing field. The authors begin with a discussion of fundamentals such as how to generate random numbers on a computer. Subsequent chapters discuss key Monte Carlo topics and methods, including: Random variable and stochastic process generation Markov chain Monte Carlo, featuring key algorithms such as the Metropolis-Hastings method, the Gibbs sampler, and hit-and-run Discrete-event simulation Techniques for the statistical analysis of simulation data including the delta method, steady-state estimation, and kernel density estimation Variance reduction, including importance sampling, latin hypercube sampling, and conditional Monte Carlo Estimation of derivatives and sensitivity analysis Advanced topics including cross-entropy, rare events, kernel density estimation, quasi Monte Carlo, particle systems, and randomized optimization The presented theoretical concepts are illustrated with worked examples that use MATLAB®, a related Web site houses the MATLAB® code, allowing readers to work hands-on with the material and also features the author's own lecture notes on Monte Carlo methods. Detailed appendices provide background material on probability theory, stochastic processes, and mathematical statistics as well as the key optimization concepts and techniques that are relevant to Monte Carlo simulation. Handbook of Monte Carlo Methods is an excellent reference for applied statisticians and practitioners working in the fields of engineering and finance who use or would like to learn how to use Monte Carlo in their research. It is also a suitable supplement for courses on Monte Carlo methods and computational statistics at the upper-undergraduate and graduate levels.

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627

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118014952

ISBN 13

9781118014950

Supply Chain Security

International Practices and Innovations in Moving Goods Safely and Efficiently [2 volumes]

By: Andrew R. Thomas

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Supply Chain Security

International Practices and Innovations in Moving Goods Safely and Efficiently [2 volumes]

By: Andrew R. Thomas

A practical, global-centric view of how to make the worldwide supply chain safer, more resilient, and efficient. With more and more enterprises managing supply operations that reach farther and farther from headquarters, Supply Chain Security: International Practices and Innovations in Moving Goods Safely and Efficiently could not be more timely or well-targeted. This comprehensive two-volume set is the first look at the present and future of supply chain management, and the full range of threats to supply chain security. Each volume of Supply Chain Security focuses on a specific area: the first explores the historic context and current operational environment in which supply chain security must function. Volume Two is a look at emerging issues that includes proven, innovative steps companies and governments can take to counter the inherent risks of moving goods and people more safely and efficiently. Reflecting its subject, this resource is truly global in perspective, with contributions from 18 countries and over two-thirds of its contributors from outside the United States. No company that does business internationally should be without this essential resource.

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503

Publisher

Bloomsbury Publishing USA

Published Date

ISBN 10

0313364214

ISBN 13

9780313364211

Managing the Profitable Construction Business

The Contractor's Guide to Success and Survival Strategies

By: Thomas C. Schleifer,Kenneth T. Sullivan,John M. Murdough

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Managing the Profitable Construction Business

The Contractor's Guide to Success and Survival Strategies

By: Thomas C. Schleifer,Kenneth T. Sullivan,John M. Murdough

Take control of your construction contracting business and manage it through the natural highs and lows of the construction market. Learn from a team of construction business veterans led by Thomas C. Schleifer, who is commonly referred to as a construction business "turnaround" expert due to the number of construction companies he has rescued from financial distress. His financial acumen, combined with his practical, hands-on experience, has made him a sought-after private consultant. His experience and no-nonsense philosophy have truly given him a unique perspective. Important topics covered include: Understanding the primary areas of construction business failure in the next decade Minimizing business risk with real-world examples Developing a positive and competent management attitude and strategy Discover how to maneuver through this complicated and risky industry by using the authors' research and proven success strategies to sustain and grow your business.

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Page Count

292

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118836944

ISBN 13

9781118836941

Court, Cloister, and City

The Art and Culture of Central Europe, 1450-1800

By: Thomas DaCosta Kaufmann

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Court, Cloister, and City

The Art and Culture of Central Europe, 1450-1800

By: Thomas DaCosta Kaufmann

In this book, Thomas DaCosta Kaufmann chronicles more than three hundred years of painting, sculpture, and architecture in Germany, Poland, the Czech Republic, Slovakia, Hungary, Austria, Ukraine, Lithuania and western parts of the Russian Federation. Massive in scale, the book is highly accessible and lavishly illustrated. The readability of the text and the entirely new insights it provides into three hundred years of Central European history make this a vital introduction to one of the least understood periods in the history of art.

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576

Publisher

University of Chicago Press

Published Date

ISBN 10

0226427307

ISBN 13

9780226427300

Non-Life Insurance Mathematics

An Introduction with the Poisson Process

By: Thomas Mikosch

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Non-Life Insurance Mathematics

An Introduction with the Poisson Process

By: Thomas Mikosch

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432

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Springer

Published Date

ISBN 10

3540882324

ISBN 13

9783540882329

Lévy Matters V

Functionals of Lévy Processes

By: Lars Nørvang Andersen,Søren Asmussen,Frank Aurzada,Peter W. Glynn,Makoto Maejima,Mats Pihlsgård,Thomas Simon

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Lévy Matters V

Functionals of Lévy Processes

By: Lars Nørvang Andersen,Søren Asmussen,Frank Aurzada,Peter W. Glynn,Makoto Maejima,Mats Pihlsgård,Thomas Simon

This three-chapter volume concerns the distributions of certain functionals of Lévy processes. The first chapter, by Makoto Maejima, surveys representations of the main sub-classes of infinitesimal distributions in terms of mappings of certain Lévy processes via stochastic integration. The second chapter, by Lars Nørvang Andersen, Søren Asmussen, Peter W. Glynn and Mats Pihlsgård, concerns Lévy processes reflected at two barriers, where reflection is formulated à la Skorokhod. These processes can be used to model systems with a finite capacity, which is crucial in many real life situations, a most important quantity being the overflow or the loss occurring at the upper barrier. If a process is killed when crossing the boundary, a natural question concerns its lifetime. Deep formulas from fluctuation theory are the key to many classical results, which are reviewed in the third chapter by Frank Aurzada and Thomas Simon. The main part, however, discusses recent advances and developments in the setting where the process is given either by the partial sum of a random walk or the integral of a Lévy process.

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242

Publisher

Springer

Published Date

ISBN 10

3319231383

ISBN 13

9783319231389

Elementary Stochastic Calculus with Finance in View

By: Thomas Mikosch

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Elementary Stochastic Calculus with Finance in View

By: Thomas Mikosch

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.

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230

Publisher

World Scientific

Published Date

ISBN 10

9810235437

ISBN 13

9789810235437

Stochastic Models with Power-Law Tails

The Equation X = AX + B

By: Dariusz Buraczewski,Ewa Damek,Thomas Mikosch

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Stochastic Models with Power-Law Tails

The Equation X = AX + B

By: Dariusz Buraczewski,Ewa Damek,Thomas Mikosch

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems. The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, and gives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrence equations and shows relations with non-affine recursions and multivariate regular variation.

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325

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Springer

Published Date

ISBN 10

3319296795

ISBN 13

9783319296791

Modelling Extremal Events

for Insurance and Finance

By: Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch

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Modelling Extremal Events

for Insurance and Finance

By: Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch

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657

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Springer Science & Business Media

Published Date

ISBN 10

3642334830

ISBN 13

9783642334832

Non-Life Insurance Mathematics

An Introduction with Stochastic Processes

By: Thomas Mikosch

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Non-Life Insurance Mathematics

An Introduction with Stochastic Processes

By: Thomas Mikosch

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242

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Springer Science & Business Media

Published Date

ISBN 10

3540448896

ISBN 13

9783540448891

Lévy Processes

Theory and Applications

By: Ole E. Barndorff-Nielsen,Thomas Mikosch,Sidney I. Resnick

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Lévy Processes

Theory and Applications

By: Ole E. Barndorff-Nielsen,Thomas Mikosch,Sidney I. Resnick

A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.

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436

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Springer Science & Business Media

Published Date

ISBN 10

081764167X

ISBN 13

9780817641672

Empirical Process Techniques for Dependent Data

By: Herold Dehling,Thomas Mikosch,Michael Sörensen

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Empirical Process Techniques for Dependent Data

By: Herold Dehling,Thomas Mikosch,Michael Sörensen

Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical procedures. Recently, the need to model the dependence structure in data sets from many different subject areas such as finance, insurance, and telecommunications has led to new developments concerning the empirical distribution function and the empirical process for dependent, mostly stationary sequences. This work gives an introduction to this new theory of empirical process techniques, which has so far been scattered in the statistical and probabilistic literature, and surveys the most recent developments in various related fields. Key features: A thorough and comprehensive introduction to the existing theory of empirical process techniques for dependent data * Accessible surveys by leading experts of the most recent developments in various related fields * Examines empirical process techniques for dependent data, useful for studying parametric and non-parametric statistical procedures * Comprehensive bibliographies * An overview of applications in various fields related to empirical processes: e.g., spectral analysis of time-series, the bootstrap for stationary sequences, extreme value theory, and the empirical process for mixing dependent observations, including the case of strong dependence. To date this book is the only comprehensive treatment of the topic in book literature. It is an ideal introductory text that will serve as a reference or resource for classroom use in the areas of statistics, time-series analysis, extreme value theory, point process theory, and applied probability theory. Contributors: P. Ango Nze, M.A. Arcones, I. Berkes, R. Dahlhaus, J. Dedecker, H.G. Dehling,

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383

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Birkhäuser

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ISBN 10

0817642013

ISBN 13

9780817642013

Makamlar

The Musical Scales of Turkey

By: Thomas Mikosch

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Makamlar

The Musical Scales of Turkey

By: Thomas Mikosch

TÜRK SANAT MÜZİĞİ - The Turkish art music, one of the greatest art musics in the world. Persians and Arabs both left deep traces in this music, which, despite its homophonic characteristic, indwells no harmony in the classical sense, has achieved an impressive harmonic richness and has, with the expansion of the Ottoman Empire in South-Eastern Europe and especially the Balkans, strongly influenced the music traditions of those countries (e.g., Bulgaria, Greece, aso.). This book contains over 50 of the most common makamlar and their scales along with their modulations. Besides, the Turkish comma system as well as the history of the scales and modes of Turkish art music, which can be traced from the Ottoman Empire through Arabia and Persia back to ancient Greece, is discussed in detail. It also describes the discrepancies between the music as it was performed in Ottoman times and how it is notated today. This book contains over 50 of the most common makamlar and their scales along with their modulations. Besides, the Turkish comma system as well as the history of the makamlar, which can be traced from the Ottoman Empire through Arabia and Persia back to ancient Greece, is discussed in detail. It also describes the differences between the music as it was performed in Ottoman times and how it is notated today.

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1716496136

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9781716496134

Book's by Thomas Mikosch

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