Downloadable Papers (sorted by date)

NEW: The Top 20 books referenced/cited in these (below listed) papers.

I've put a gray background on the five most browsed paper in this category.   (August-1)

Quantile Mechanics
by György Steinbrecher of the University of Craiova, Romania, and
William T. Shaw of King's College London
(243K PDF) -- 18 pages -- July 16, 2007

On Exponential Approximation to the Hockey Stick Function
by Ian Iscoe of Algorithmics Inc.,
Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics Inc., and
Xiaofang Ma of the University of Toronto
(234K PDF) –- 19 pages -- January 24, 2007

Multivariate Integral Perturbation Techniques - I (Theory)
by Jan W. Dash of Moore Capital Management
(178K PDF) – 25 pages -- September 2006

Data Mining Procedures in Generalized Cox Regressions
by Zhen Wei of Stanford University
(261K PDF) –- 33 pages -- May 18, 2006

Sub-additivity Re-examined: The case for Value-at-Risk
by Jon Danielsson of the London School of Economics,
Bjorn N. Jorgensen of the Columbia Business School,
Mandira Sarma of Eindhoven University of Technology, and
Casper G. de Vries of Erasmus University
(200K PDF) -- 21 pages -- February 28, 2005

Can a Coherent Risk Measure be Too Subadditive?
by Jan Dhaene of the Catholic University of Leuven & University of Amsterdam,
Roger J.A. Laeven of University of Amsterdam & Mercer Oliver Wyman,
Steven Vanduffel of the Catholic University of Leuven,
Grzegorz Darkiewicz of the Catholic University of Leuven, and
Marc J. Goovaerts of the Catholic University of Leuven & University of Amsterdam
(237K PDF) -- 27 pages -- December 19, 2005

Unbiasedness in Least Quantile Regression
by Dirk Tasche of the Technische Universität München
(204K PDF) -- 11 pages -- September 6, 2001

Bounds for Functions of Dependent Risks
by Paul Embrechts of ETH Zurich, and
Giovanni Puccetti of the University of Firenze
(391K PDF) –- 14 pages -- September 2005

Bounds for Functions of Multivariate Risks
by Paul Embrechts of ETH Zurich, and
Giovanni Puccetti of the University of Firenze
(74K PDF) –- 23 pages -- April 4, 2005

A Geometric Representation of the Frisch-Waugh-Lovell Theorem
by Walter Sosa Escudero of the Universidad Nacional de La Plata
(252K PDF) -- 8 pages -- March 21, 2001

The Empirical Performance of Alternative Extreme Value Volatility Estimators
by Kai Li of New York University, and
David Weinbaum of New York University
(217K PDF) -- 43 pages -- December 20, 2000

Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool
by Paul Embrechts of ETH Zurich
(182K PDF) -– 12 pages -- January 2000

Defining a Beta Distribution Function for Construction Simulation
by Javier Fente of Arizona State University,
Kraig Knutson of Arizona State University, and
Cliff Schexnayder of Arizona State University
(77K PDF) -- 6 pages -- Winter 1999

Extreme Value Theory as a Risk Management Tool
by Paul Embrechts of ETH Zürich,
Sidney I. Resnick of Cornell University, and
Gennady Samorodnitsky of Cornell University
(397K PDF) –- 22 pages -- April 1999

Empirical Evidence on Volatility Estimators
by João Duque of the Universidade Técnica de Lisboa, and
Dean A. Paxson of the University of Manchester
(138K PDF) -- 38 pages -- May 1997

A Class of Symmetric Bivariate Uniform Distributions
by Thomas S. Ferguson of the University of California at Los Angeles
(148K PDF) -- 10 pages -- July 8, 1994

Estimation of Variances of Averages Based on Overlapping Samples in Repeated Surveys
by B. Quenneville of Statistics Canada, and
K.P. Srinath of Statistics Canada
(319K PDF) -- 6 pages -- 1984

Additional References (sorted by author)

Bali, Turan G. and David Weinbaum, "A Comparative Study of Alternative Extreme-value Volatility Estimators", Journal of Futures Markets, Vol. 25, No. 9, (September 2005), pp. 873-892.  [Abstract]

Connor, Gregory, "The Three Types of Factor Models: A Comparison of Their Explanatory Power", Financial Analysts Journal, Vol. 51, No. 3, (May/June 1995), pp. 42-46.  [Abstract]

Garman, Mark B. and Michael J. Klass, "On the Estimation of Security Price Volatilities from Historical Data", Journal of Business, Vol. 53, No. 1, (January 1980), pp. 67-78.  [Abstract]

Heckman, James J., "Sample Selection Bias as a Specification Error", Econometrica, Vol. 47, No. 1, (January 1979), pp. 153-161.  [Abstract]

Kunitomo, Naoto, "Improving the Parkinson Method of Estimating Security Price Volatilities", Journal of Business, Vol. 65, No. 2, (April 1992), pp. 295-302.  [Abstract]

Neal, Radford M., "Slice Sampling", Annals of Statistics, Vol. 31, No. 3, (June 2003), pp. 705-767.  [Abstract]

Parkinson, Michael, "The Extreme Value Method for Estimating the Variance of the Rate of Return", Journal of Business, Vol. 53, No. 1, (January 1980), pp. 61-65.  [Abstract]

Rosenbaum, Paul R. and Donald B. Rubin, "The Central Role of the Propensity Score in Observational Studies for Causal Effects", Biometrika, Vol. 70, No. 1 (April 1983), pp. 41-55.  [Abstract]

Books

	The Mathematics of Arbitrage by Freddy Delbaen, Walter Schachermayer Springer, (May 2008; but now shipping), Hardcover, 371 pages
	Nonparametric Analysis of Univariate Heavy-Tailed Data: Research and Practice by Natalia Markovich Wiley-Interscience, (December 21, 2007), Hardcover, 336 pages
	Numerical Recipes 3rd Edition: The Art of Scientific Computing by William H. Press, Saul A. Teukolsky, William T. Vetterling, Brian P. Flannery Cambridge University Press, (September 10, 2007), Hardcover, 1,256 pages
	How I Became a Quant: Insights from 25 of Wall Street's Elite by Barry Schachter (Editor), Richard R. Lindsey (Editor) Wiley, (July 9, 2007), Hardcover, 386 pages
	Risk and Asset Allocation by Attilio Meucci Springer, (August 2005), Hardcover, 532 pages
	Financial Instrument Pricing Using C++ (The Wiley Finance Series) by Daniel J. Duffy John Wiley & Sons, (August 27, 2004), Hardcover + CD-ROM, 432 pages
	Monte Carlo Methods in Financial Engineering by Paul Glasserman Springer-Verlag, (October 1, 2003), Hardcover, 596 pages