Data Analysis and Related Applications. 3, Theory and practice -- new approaches

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Title:

Author:

Dimotikalis, Yiannis.

ISBN:

9781394284061

9781394284054

9781394284047

Publication Information:

Newark : John Wiley & Sons, Incorporated, 2024.

Physical Description:

1 online resource (298 p.)

Series:

Innovation, entrepreneurship and management series. Big data, artificial intelligence, and data analysis set ; v. 11

Innovation, entrepreneurship and management series. Big data, artificial intelligence and data analysis set ; v. 11.

General Note:

Description based upon print version of record.

Chapter 8. Numerical Studies of Implied Volatility Expansions Under the Gatheral Model

Contents:

Cover -- Title Page -- Copyright Page -- Contents -- Part 1. Data Analysis Classification -- Chapter 1. Walking into the Digital Era: Comparison of the European Union Countries in the Last Decade -- 1.1. Introduction -- 1.1.1. The dataset -- 1.1.2. Preliminary analysis of the data -- 1.2. Double principal component analysis: a brief description -- 1.3. Representation of the trajectories -- 1.4. Some final conclusions -- 1.5. Acknowledgements -- 1.6. References -- Chapter 2. Multivariate Kernel Discrimination Applied to Bank Loan Classification -- 2.1. Introduction

2.2. Multivariate kernel density estimation -- 2.2.1. Kernel density estimator -- 2.2.2. The optimal bandwidth -- 2.3. Kernel discriminant analysis -- 2.4. Applying kernel discriminant analysis to local data -- 2.4.1. Description of data -- 2.4.2. Variable selection -- 2.5. Conclusion -- 2.6. References -- Chapter 3. Introducing an Ontology of Adolescents' Digital Leisure -- 3.1. Introduction -- 3.2. Related work -- 3.3. Ontology -- 3.4. Description of the ontology construction -- 3.5. Data annotation -- 3.6. Conclusions -- 3.7. Acknowledgments -- 3.8. References

Chapter 4. Blackjack and the Kelly Bet: A Simulation Assessment of Selected Playing Strategies -- 4.1. Introduction -- 4.2. Blackjack -- 4.2.1. Rules of the game -- 4.3. Kelly bet -- 4.4. Simulation study -- 4.4.1. Modeling assumptions -- 4.5. Empirical results -- 4.6. Conclusions -- 4.7. References -- Part 2. Estimators -- Chapter 5. An Evaluation of the Efficiency of a Shape Parameter Estimator for the Log-logistic Distribution -- 5.1. Introduction -- 5.2. Estimation of the shape parameter -- 5.2.1. Estimators under study -- 5.2.2. Asymptotic properties of the estimators

5.3. Simulation study -- 5.4. References -- Chapter 6. Restricted Minimum Density Power Divergence Estimator for Step-stress ALT with Nondestructive One-shot Devices -- 6.1. Introduction -- 6.2. Minimum density power divergence estimator and restricted minimum density power divergence estimator -- 6.3. Influence function of the restricted minimum density power divergence estimator -- 6.4. Applications of the restricted MDPDE -- 6.4.1. Rao-type test statistics -- 6.4.2. DPD-based statistics -- 6.5. Simulation study -- 6.6. Conclusions -- 6.7. References -- Part 3. Finance

Chapter 7. Properties of American Options Under a Semi-Markov Modulated Black-Scholes Model -- 7.1. Introduction -- 7.2. American option pricing -- 7.3. Exercising strategies -- 7.3.1. Setting parameters -- 7.3.2. Relationship between the option price and "economic situation, asset price and maturity" -- 7.3.3. Relationship between option price and transition probability matrix -- 7.3.4. Consideration of the optimal exercise region -- 7.3.5. Condition of transition probability matrix for option price transition to be monotonous -- 7.4. Conclusion -- 7.5. References

Abstract:

The book is a collective work by a number of leading scientists, analysts, engineers, mathematicians and statisticians who have been working at the forefront of data analysis and related applications, arising from data science, operations research, engineering, machine learning or statistics. The chapters of this collaborative work represent a cross-section of current research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with appropriate applications. The published data analysis methodology includes the updated state-of-the-art rapidly developed theory and applications of data expansion, both of which go through outstanding changes nowadays. New approaches are expected to deliver and have been developed, including Artificial Intelligence.

Local Note:

John Wiley and Sons

Subject Term:

Quantitative research.

Electronic data processing.

Mathematical statistics.

Recherche quantitative.

Technologie de l'information.

information technology.

Data Mining.

Data Processing.

COMPUTERS.