WorldCat Identities

Hlávka, Z. (Zdeněk)

Overview
Works: 14 works in 54 publications in 5 languages and 1,038 library holdings
Roles: Other, Author, Performer, Singer
Publication Timeline
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Most widely held works by Z Hlávka
Multivariate statistics : exercises and solutions by Wolfgang Karl Härdle( )

27 editions published between 2007 and 2015 in English and German and held by 843 WorldCat member libraries worldwide

The authors present tools and concepts of multivariate data analysis by means of exercises and their solutions. The first part is devoted to graphical techniques. The second part deals with multivariate random variables and presents the derivation of estimators and tests for various practical situations. The last part introduces a wide variety of exercises in applied multivariate data analysis. The book demonstrates the application of simple calculus and basic multivariate methods in real life situations. It contains altogether more than 250 solved exercises which can assist a university teacher in setting up a modern multivariate analysis course. All computer-based exercises are available in the R language. All R codes and data sets may be downloaded via the quantlet download center www.quantlet.org or via the Springer webpage. For interactive display of low-dimensional projections of a multivariate data set, we recommend GGobi
XploRe : application guide by W Härdle( Book )

10 editions published between 2000 and 2003 in English and Japanese and held by 151 WorldCat member libraries worldwide

CD-ROM contains: MD*Tech e-book; XploRe quantlets
Messa da requiem by Gaetano Donizetti( Recording )

4 editions published between 1997 and 2008 in Latin and Undetermined and held by 20 WorldCat member libraries worldwide

Multivariate Statistics Exercises and Solutions by Wolfgang Härdle( )

3 editions published between 2007 and 2015 in English and held by 7 WorldCat member libraries worldwide

DONIZETTI : Requiem for Bellini( Recording )

2 editions published in 2008 in English and held by 5 WorldCat member libraries worldwide

Wann sind falsche VaR-Modelle dennoch adäquat?( )

1 edition published in 2003 in German and held by 2 WorldCat member libraries worldwide

Dynamics of state price densities( )

1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide

State price densities (SPD) are an important element in applied quantitative finance. In a Black-Scholes model they are lognormal distributions with constant volatility parameter. In practice volatility changes and the distribution deviates from log-normality. We estimate SPDs using EUREX option data on the DAX index via a nonparametric estimator of the second derivative of the (European) call price function. The estimator is constrained so as to satisfy no-arbitrage constraints and it corrects for intraday covariance structure. Given a low dimensional representation of this SPD we study its dynamic for the years 1995-2003. We calculate a prediction corridor for the DAX for a 45 day forecast. The proposed algorithm is simple, it allows calculation of future volatility and can be applied to hedging exotic options. -- option pricing ; state price density estimation ; nonlinear least squares ; confidence intervals
Constrained general regression in pseudo-Sobolev spaces with application to option pricing( )

1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide

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 taking into account the time of the trade and by considering simultaneously both the observed Put and Call option prices. -- isotonic regression ; Sobolev spaces ; monotonicity ; multiple observations ; covariance structure ; option price
Electronic books for experts and users( )

1 edition published in 2003 in English and held by 2 WorldCat member libraries worldwide

On the appropriateness of inappropriate VaR models( )

1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index, the principal components model and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literatere on the verification of weather forecasts (Murphy and Winkler 1992, Murphy 1997). Some considerations on the quantitative analysis are presented in the fourth chapter. In the last chapter, we present empirical analysis of the DAX data using XploRe. -- Value-at-Risk ; market index model ; principal components ; random effects model ; probability forecast
Confidence intervals for state price densities( )

1 edition published in 2003 in English and held by 2 WorldCat member libraries worldwide

Gaetano Donizetti, Messa da Requiem by Gaetano Donizetti( Recording )

in Undetermined and held by 1 WorldCat member library worldwide

Strojnicka prirucka by Zdenek Hlavka( Book )

in Czech and held by 1 WorldCat member library worldwide

 
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WorldCat IdentitiesRelated Identities
Multivariate statistics : exercises and solutions
Covers
XploRe : application guide
Alternative Names
Hlávka, Z.

Hlávka, Zdeněk

Languages
English (43)

Japanese (3)

Latin (3)

German (2)

Czech (1)