About the Book
Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas.
The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems.
The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.
Table of Contents:
Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E.D. Veraart: Preface.‐ Eva Vedel Jensen et al.: Ole E. Barndorff-Nielsen’s scientific contributions.‐ Michael Sørensen: On the size distribution of sand.‐Björn Birnir: From Wind‐Blown Sand to Turbulence and back.‐ José Ulises Márquez, Jürgen Schmiegel: Modelling Turbulent Time Series by BSS Processes.‐ Gérard Letac: Associate Natural Exponential Families and Elliptic Functions.‐ Per Aslak Mykland, Jianming Ye: Cumulants and Bartlett Identities in Cox Regression.‐ Martin Drapatz, Alexander Lindner: Exchangeability and Infinite Divisibility.‐ Peter Tankov: Lévy copulas: Review of Recent Results .‐ Fred Espen Benth, Asma Khedher: Weak Stationarity of Ornstein‐Uhlenbeck Processes with Stochastic Speed of Mean Reversion.‐ Jorge M. Ramirez, Enrique A. Thomann, Edward C. Waymire : Continuity of Local Time: An Applied Perspective .‐ Bohan Chen, Carsten Chong, Claudia Klüppelberg: Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise.‐ Victor Pérez‐Abreu, Alfonso Rocha‐Arteaga on the Process of the Eigenvalues of a Hermitian Lévy Process.‐ Neil Shephard, Justin J. Yang: Likelihood Inference for Exponential‐Trawl Processes.‐ Thibault Jaisson, Mathieu Rosenbaum: The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes.‐ Alessandra Luati, Tommaso Proietti: Generalised Partial Autocorrelations and the Mutual Information between Past and Future.‐ Jean Jacod, Viktor Todorov: Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices.‐ MasayukiUchida, Nakahiro Yoshida: Model Selection for Volatility Prediction.‐Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov: A Markov Chain Estimator of Multivariate Volatility from High Frequency Data.‐ Paul Embrechts, Edgars Jakobsons: Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds.‐ Mark Davis<: A Beaufort Scale of Predictability.‐ Bernt Øksendal, Agnès Sulem, Tusheng Zhang: A Stochastic HJB Equation for Optimal Control of Forward‐Backward SDEs.‐José Manuel Corcuera, José Fajardo, Wim Schoutens, Arturo Valdivia: CoCos with Extension Risk. A Structural Approach.‐ Giulia Di Nunno, Erik Hove Karlsen: Hedging under Worst‐Case‐Scenario in a Market driven by Time‐ Changed Lévy Noises.‐ Søren Asmussen, Lester Lipsky, Stephen Thompson: Markov Renewal Methods in Restart Problems in Complex Systems.
About the Author :
Mark Podolskij since 2014 Full Professor at Aarhus University; 2010-2014 Full Professor at Heidelberg University; PostDoc: 2008-2010 ETH Zurich, 2007-2008 University of Aarhus; 2006: PhD at Ruhr-University of Bochum. Research interests: Asymptotic theory for high frequency data, inference for stochastic processes, semimartingales, stochastic analysis, Malliavin calculus, Stein's method.
Robert Stelzer since 2011 Full Professor and Director of the Institute of Mathematical Finance at Ulm University; 2008-2011 Carl-von-Linde Junior Fellow at the Institute for Advanced Study, TU Munich; 2007: PhD at TU Munich. Research interests: Financial mathematics, stochastic volatility models, stochastic processes, Lévy processes, (multivariate) time series analysis, random matrices, extreme value theory.
Steen Thorbjørnsen since 2006 Associate Professor at the University of Aarhus; 2003-2006 Associate Professor at the University of Southern Denmark; 2000-2003 Assistant Professorat the University of Southern Denmark; 1999 Ph.D at the University of Southern Denmark. Research interests: Free probability theory, Random matrices, Lévy processes and bases, operator algebras.
Almut E. D. Veraart since 2014 Reader in Statistics at Imperial College London; 2011-2014 Lecturer in Statistics at Imperial College London; 2010-2011 Assistant Professor, Aarhus University, 2007-2010 Postdoc, Aarhus University; 2008: DPhil in Statistics at University of Oxford. Research interests: Statistical inference for stochastic processes, applied probability, financial econometrics, financial mathematics; stochastic volatility models, Lévy processes, high frequency data, ambit stochastics, stochastic modelling of energy markets.
Review :
“The book is organized and structured well; most of the chapters are self-contained. This book includes many useful topics and techniques for established, early career researchers and doctoral students alike. … this edited volume will be of interest to researchers working in this area. The book offers substantial and stimulating information and knowledge for the benefit of a host of a larger research group. I enjoyed reading some of the chapters of the book and found them interesting and useful.” (S. Ejaz Ahmed, Technometrics, Vol. 59 (1), January, 2017)
