Lecture 10
Brownian Motion
Suppose in a discrete-time market the returns of a stock price process cfw_S(t) is modeled by the stochastic dierence equation S(t + ) S(t) = + S(t)
t
(10.1)
with a time increment , a drift parameter , a volatility parameter , a

Bethany Horton
Environmental Statistics
Final Paper
4/27/09
Investigating the Relationship Between Water Exposures and Adverse Birth Outcomes
Water exposure data was collected in a particular site in NC and a site in TX as part of
study to evaluate the re

Long memory or shifting trends in climatological time series
Presented by Changryong Baek
April 28, 2009
1. Introduction
Moberg et al. (2005) used wavelet method to reconstruct NH temperatures by incorporating
low resolution proxies, such as lake and ocea

Approximating likelihoods for large spatial data sets
By Michael Stein, Zhiyi Chi, and Leah Welty
Jessi Cisewski
April 28, 2009
1
Introduction
Given a set of spatial data, often the desire is to estimate its covariance structure. For practical purposes, i

Jennifer Clark
28 April 2009
Final Project
Environmental Statistics
Disaster Risk Models
Natural disasters are an unavoidable part of the environment from which no location can escape as was seen
from Hurricane Katrina in Louisiana to the vast tsunamis th

A synthetic aperture radar-based model to assess historical changes in lowland
floodplain hydroperiod, Philip A. Townsend and Jane R. Foster. 2002.
There is a significant body of research describing the relationship between manmade dams and the disruption

Scott Hauswirth
STOR890-Env. Statistics
Paper Summary
April 28, 2009
Paper Presented: Kennedy, P.L. and Allan D. Woodbury (2002) Geostatistics and
Bayesian Updating for Transmissivity Estimation in a Multiaquifer System in Manitoba,
Canada. Ground Water 4

Extreme Value Theory to Estimating Value at Risk
Turan (2003) An Extreme Value Approach to Estimating Volatility and Value at Risk, J of Business
Gomes and Pestina (2007) A Sturdy Reduced-Bias Extreme Quantile Estimator, JASA
Davison and Smith (1990) Mode

BIOS 890 - Spring 2009
Emil Cornea
04/28/2009
Approximate Bayesian Inference for latent Gaussian models by using
integrated nested Laplace approximations
Havard Rue, Sara Martino, and Niholas Chopin
The paper concerns the development of a fast approximate

Lecture 17
American Options in a BS Market
American option pricing in continuous-time is based on the same idea as in discrete-time, i.e.
formulated as an optimal stopping problem. However, the technicalities involved are much more
complicated. The introd

1
The Squam Lake Report
Fixing the Financial System
Kenneth R. French
Martin N. Baily
John Y. Campbell
John H. Cochrane
Douglas W. Diamond
Darrell Duffie
Anil K Kashyap
Frederic S. Mishkin
Raghuram G. Rajan
David S. Scharfstein
Robert J. Shiller
Hyun Song

Simple Hedging (Part 1)
890-2011
2/3/2011
STOR 890, 2011
simple hedging
Introduction
Hedging: to reduce the risk in an invested security by
holding another security with possible opposite scenarios.
Diversication between negatively correlated stocks is an

Report by Petro Borysov
April 2009
ESTIMATING THE TAILS OF LOSS SEVERITY
DISTRIBUTIONS USING EXTREME VALUE THEORY
ALEXANDER J.MCNEIL
1. Introduction
Estimating loss severity distributions from historical data is an important actuarial activity in insuranc

Paper Review:
Fine-Particulate Air Pollution
and Life Expectancy in the United States
C. Arden Pope III, Ph.D., Majid Ezzati, Ph.D., and Douglas W. Dockery, Sc.D.
Valmik Khadke
April 28, 2009
Many recent studies have been trying to find the association be

ON SPATIAL EXTREMES: WITH APPLICATION
TO A RAINFALL PROBLEM
By T.A. Buishand, L.DE Haan and Zhou
Presented by Zhitao Zhang, Apr28, 2009
1. Introduction and Data description
When a damaging ood has occurred extreme rainfall statistics are frequently used t

Statistical Software for Weather and Climate
Eric Gilleland,
National Center for
Atmospheric Research,
Boulder, Colorado, U.S.A.
http:/www.ral.ucar.edu/sta/ericg
Eects of climate change: coastal systems, policy implications, and
the role of statistics. In

Ruiwen Zhang
Paper: Statistical models for monitoring and regulating ground-level ozone
Eric Gilleland and Douglas Nychka, Environmetrics, 2005
1
Background
As we know, ground-level ozone triggers a variety of health problems even at very low levels and
m

Interdisciplinary Workshop: Eects of climate change:
coastal systems, policy implications, and the role
of statistics
Course March 16-17, and Workshop March 18-20 2009
Practice Sets for Short Course on Statistical Software and Extreme Value Analysis
1
R P

Paper Review:
Nonstationary covariance models for global data
by Mikyoung Jun and Michael L. Stein, 2008
Sungkyu Jung
Statistics & O. R., UNC Chapel Hill
April 27, 2009
1
Introduction
The paper by Jun and Stein discusses a class of covariance models that

Data Analysis in Extreme Value Theory
: Non-stationary Case
Soyoung Jeon
April 28, 2009
1. Background
We are already familiar with the background on extreme value theory.
,
independent random variables with the same probability distribution and
,
. Then t

Point process methodology for on-line spatio-temporal disease surveillance
Peter Diggle, Barry Rowlingson and Ting-li Su
This paper concerns the development of on-line spatio-temporal disease
surveillance system for non-specic gastroenteric disease in the

Multivariate Bayesian Analysis of Atmosphere-Ocean
General Circulation Models
Reinhard Furrer, Stephan R. Sain, Douglas Nychka, Gerald A Meehl
Presented by: Xuan Li
April, 2009
1. Introduction
Numerical experiments based on atmosphereocean general circula

Data Analysis in Extreme Value Theory
Xin Liu
Department of Statistics and Operations Research
University of North Carolina at Chapel Hill
April 30, 2009
1
Introduction
Extreme value theory has emerged as one of the most important statistical disciplines

Su Zhang 711969212
STOR890-Enrionmental Statistics
Paper Summary
04/28/2009
Paper Presented: Andrew T. Hudak et. al. Integration of lidar and Landsat ETM+ data
for estimating and mapping forest canopy height. Remote Sensing of Environment 82
(2002) 397416

Eric Lock
STOR 890: Environmental Statistics
04/28/09
Computational Techniques for Spatial Logistic Regression
Certain health outcomes depend on environmental factors that vary geographically (e.g.
pollutants), and Epidemiological studies accounting for s

Reference List 1 for STOR 890, Spring 2011
[1] Introduction to the Economics and Mathematics of Financial Markets (J. Cvitanic and F.
Zapatero, 2004, MIT Press) an accessible treatise of asset pricing theory and some other
topics, both discrete-time and c

Option Pricing
STOR 890 (2011)
1/13/2011
890-11
option pricing
Option pricing
Option pricing: a fundamental problem in studying
derivatives
Why need it? The fair price is a basis for trading, risk
management (hedging), etc.
Methods: (i) analytical (solvin

Lecture 6
Cash Flows, Forward Contracts and Futures
We like to broaden our studies in arbitrage pricing from call and put options to other kinds of
derivative securities in order to suit the need for quantitative analysis of the evergrowing nancial
market

Lecture 5
American Options
An American option is a contract between two parties made at a certain time t such that the
buyer of the contract has the right, but not the obligation, to exercise the option at any time with
t T . If the option is exercised at