Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...

Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance. We consider the...

In this paper, we present a case study, which describe the development of the Statistic e-learning-course in Arabic language -"Arabic MM*STAT". The basic frame for this E-book, the system MM*STAT was developed at the School for Business and Economics of Humboldt-Universita͏̈t zu Berlin. Arabic...

One of the major cost factors in car manufacturing is the painting of body and other parts such as wing or bonnet. Surprisingly, the painting may be even more expensive than the body itself. From this point of view it is clear that car manufacturers need to observe the painting process carefully...