Now showing items 21-30 of 156
On the Numerics of Estimating Generalized HyperbolicDistributions
An important empirical fact in financial market is that return distributions are often skewed and heavy-tailed. This paper employs maximum likelihood estimation to estimate the five parameters of generalized hyperbolic ...
Application of Smoothing Techniques to Implied Volatility
Implied volatility is an important element in risk management and option pricing. Black-Scholes model assumes a constant volatility, however, the evidence from financialmarket shows that the volatility is not constant but ...
Basic Statistical Analysis and Modelling ofEvaluation Data for Teaching
This thesis proposes a novel numerical scoring system, which efficiently evaluates the teaching effectiveness of the lecturers. Based upon the scores given in the student evaluation of teaching (SET), this numerical ...