Modern statistical computing requires smooth integration of new algorithms and quantitative analysis results in all sorts of platforms such as webbrowsers, standard and proprietary application software. Common statistical software packages can often not be adapted to integrate into new...

A statistical user interface is an interface between a human user and a statistical software package. Whenever we use a statistical software package we want to solve a specific statistical problem. But very often at first it is necessary to learn specific things about the software package....

Statistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen dimensionalen beobachtbaren Variablen x=(x1,...,xj)t – Rj besteht. Kann der funktionale Zusammenhang geschätzt werden, so kann im Prinzip für jedes x...

The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the...

In this paper we investigate the profitability of ?skewness trades? and ?kurtosis trades? based on comparisons of implied state price densities versus historical densities. In particular, we examine the ability of SPD comparisons to detect structural breaks in the options market behaviour. While...