State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Market option prices in last 20 years conrmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete...

Computational Statistics is an international journal that fosters the publication of applications and methodological research in the field of computational statistics. In this article, we will discuss the motivation, history, some specialties, and the future scope of this journal.

An enormous number of statistical methods have been developed in quantitive finance during the last decades. Nonparametric methods, bootstrapping time series, wavelets, estimation of diffusion coefficients are now almost standard in statistical applications. To implement these new methods the...

In this study a framework for an online database-driven repository of information – QuantNet – is presented. QuantNet is aimed at easing the process of web publishing for those who are unfamiliar with technical details and markup languages. At the same time advanced users are provided with...

Along with many others, we agree that a modern education in statistics needs to incorporate the practical analysis of real datasets, which are usually more complex than the common examples found in standard textbooks. The software used in the teaching of statistics includes standard spreadsheet...

In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....

Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used...