WorldCat Identities

Čižek, Pavel 1973-

Overview
Works: 74 works in 145 publications in 2 languages and 1,715 library holdings
Genres: Bibliography 
Roles: Author, Editor
Publication Timeline
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Most widely held works by Pavel Čižek
Statistical tools for finance and insurance by Pavel Cizek( )

39 editions published between 2004 and 2011 in English and held by 1,577 WorldCat member libraries worldwide

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field this book offers a unique combination of topics from which every market analyst and risk manager will benefit
Statistical tools for finance and insurance by Pavel Čížek( )

4 editions published between 2005 and 2011 in English and Undetermined and held by 12 WorldCat member libraries worldwide

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of topics from which every market analyst and risk manager will benefit. Features of the significantly enlarged and revised second edition: Offers insight into new methods and the applicability of the stochastic technology Provides the tools, instruments and (online) algorithms for recent techniques in quantitative finance and modern treatments in insurance calculations Covers topics such as - expected shortfall for heavy tailed and mixture distributions* - pricing of variance swaps* - volatility smile calibration in FX markets - pricing of catastrophe bonds and temperature derivatives* - building loss models and ruin probability approximation - insurance pricing with GLM* - equity linked retirement plans*(new topics in the second edition marked with*) Presents extensive examples
Statistical tools in finance and insurance( Book )

4 editions published between 2004 and 2005 in English and held by 7 WorldCat member libraries worldwide

The reduction of winter-induced discomfort in Canadian urban residential areas : an annotated bibliography and evaluation by Norman Pressman( Book )

4 editions published between 1986 and 1988 in English and held by 7 WorldCat member libraries worldwide

The first part of this study is an annotated bibliography on the reduction of winter-induced discomfort in Canadian urban residential areas. The second part of this study is an assessment of the most important problems and techniques for minimizing winter discomfort and the identification of major information gaps in this broad research sphere. The annotated bibliography consists of 233 international and Canadian references that span the years 1947-1986. The multidisciplinary references are classified into four major headings: 1. Human needs 2. Building design 3. Urban and landscape design 4. Applied climatology. The evaluation of existing problems and techniques used 23 of the most important references from the annotated bibliography. These problems and techniques are discussed at the scales of the dwelling unit, block, and neighbourhood. Directions for future research have been identified in two areas
Smoothed L-estimation of regression function by P Čiz̃ek( Book )

4 editions published between 2002 and 2006 in English and held by 6 WorldCat member libraries worldwide

The Nadaraya-Watson estimator of regression is known to be highly sensitive to the presence of outliers in the sample. A possible way of robustication consists in using local L-estimates of regression. Whereas the local L-estimation is traditionally done using an empirical conditional distribution function, we propose to use instead a smoothed conditional distribution function. We show that this smoothed L-estimation approach provides computational as well as statistical finite sample improvements. The asymptotic distribution of the estimator is derived under mild [beta]-mixing conditions. -- nonparametric regression ; L-estimation ; smoothed cumulative distribution function
Robust estimation in nonlinear regression models by Pavel Čížek( Book )

3 editions published in 2001 in English and held by 6 WorldCat member libraries worldwide

Quantile regression by Pavel Čížek( Book )

3 editions published in 1999 in English and held by 6 WorldCat member libraries worldwide

Least trimmed squares by Pavel Čížek( Book )

4 editions published in 2000 in English and held by 6 WorldCat member libraries worldwide

Robust estimation with discrete explanatory variables by Pavel Čížek( Book )

3 editions published in 2002 in English and held by 5 WorldCat member libraries worldwide

General trimmed estimation: robust approach to nonlinear and limited dependent variable models by Pavel Čížek( )

3 editions published between 2004 and 2007 in English and held by 3 WorldCat member libraries worldwide

Stokování a čištění odpadních vod : Celost. učebnice pro vys. školy by Pavel Čížek( Book )

3 editions published in 1970 in Czech and held by 3 WorldCat member libraries worldwide

Zásadní pravidla obou stavebních a vodohospodářských oborů jsou odvozována i zdůvodňována. Látka zahrnuje systémy uspořádání, stavbu a provoz stokových sítí, návrhy odvodnění měst, závodů a dopravních zařízení, odvodňování alikvidaca kalů, mechanické, chemické a biologické čištění odpadních vod a zpracování odpadů. Četné nákresy jsou zpravidla původním grafickým záznamem popisovaných principů a aparatur
General trimmed estimation robust approach to nonlinear and limited dependent variable models( )

3 editions published between 2004 and 2007 in English and held by 3 WorldCat member libraries worldwide

Adaptive pointwise estimation in time-inhomogeneous time-series models( )

2 editions published between 2007 and 2008 in English and held by 3 WorldCat member libraries worldwide

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients may arbitrarily vary with time. Global parametric, smooth transition, and changepoint models are special cases. The method is based on an adaptive pointwise selection of the largest interval of homogeneity with a given right-end point by a local change-point analysis. We construct locally adaptive estimates that can perform this task and investigate them both from the theoretical point of view and by Monte Carlo simulations. In the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform the standard parametric GARCH model. -- adaptive pointwise estimation ; autoregressive models ; conditional heteroscedasticity models ; local time-homogeneity
Robust estimation in nonlinear regression and limited dependent variable models by Pavel Čížek( Book )

2 editions published in 2001 in English and held by 3 WorldCat member libraries worldwide

Robust estimation in nonlinear regression and limited dependent variable models by Pavel Čížek( )

2 editions published in 2001 in English and held by 3 WorldCat member libraries worldwide

Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very sensitive to misspecification and data errors. On the other hand, semiparametric and nonparametric methods, which are not restricted by parametric assumptions, require more data and are less efficient. A third possible estimation approach is based on the theory of robust statistics, which builds upon parametric specification, but provides a methodology for designing misspecification-proof estimators. However, this concept, developed in statistics, has so far been applied almost exclusively to linear regression models. Therefore, I adapt some robust methods, such as least trimmed squares, to nonlinear and limited-dependent variable models. This paper presents the adapted robust estimators, proofs of their consistency, suitable computational methods, as well as examples of regression models which the proposed estimators can be applied to. -- least trimmed squares ; limited-dependent-variable models ; nonlinear regression ; robust estimation
Robust estimation of dimension reduction space( )

2 editions published in 2005 in English and held by 3 WorldCat member libraries worldwide

Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy-tailed distributions. We show that the recently proposed methods by Xia et al. (2002) can be made robust in such a way that preserves all advantages of the original approach. Their extension based on the local one-step M-estimators is sufficiently robust to outliers and data from heavy tailed distributions, it is relatively easy to implement, and surprisingly, it performs as well as the original methods when applied to normally distributed data. -- Dimension reduction ; Nonparametric regression ; M-estimation
Robust adaptive estimation of dimension reduction space( )

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

Implied trinomial trees( )

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

Implied trinomial trees (ITTs) present an analogous extension of trinomial trees proposed by Derman, Kani, and Chriss (1996). Like their binomial counterparts, they can fit the market volatility smile and actually converge to the same continuous limit as binomial trees. In addition, they allow for a free choice of the underlying prices at each node of a tree, the so-called state space. This feature of ITTs allows to improve the fit of the volatility smile under some circumstances such as inconsistent, arbitrage-violating, or other market prices leading to implausible or degenerated probability distributions in binomial trees. We introduce ITTs in several steps. We first review main concepts regarding option pricing (Section 1) and implied models (Section 2). Later, we discuss the construction of ITTS (Section 3) and provide some illustrative examples (Section 4)
Efficient robust estimation of regression models( )

2 editions published between 2006 and 2007 in English and held by 2 WorldCat member libraries worldwide

Robust econometrics( )

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

 
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Statistical tools for finance and insurance Statistical tools in finance and insurance
Covers
Statistical tools in finance and insurance
Alternative Names
Čížek, P.

Čížek, P. 1973-

Cízek, Pavel

Languages
English (86)

Czech (3)