In biomedical research and lifetime data analysis, the comparison of two hazard functions usually plays an important role in practice. In this thesis, we consider the standard independent two-sample framework under right censoring. We construct efficient and useful confidence intervals for the...

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Lévy-driven processes. We propose an empirical likelihood...

This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For...

We consider the problem of uniform asymptotics in kernel functional estimation where the bandwidth can depend on the data. In a unified approach we investigate kernel estimates of the density and the hazard rate for uncensored and right-censored observations. The model allows for the fixed...

In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a...