Longer horizon returns are modeled by two approaches, which have different impact on skewness and excess kurtosis. The Levy approach, which considers the random variable at longer horizon as the cumulants of i.i.d random variables from shorter horizons, tends to decrease skewness and excess...

Dependence modeling plays a critical role in pricing and hedging multi-asset derivatives and managing risks with a portfolio of assets. With the emerge of structured products, it has attracted considerable interest in using multivariate Levy processes to model the joint dynamics of multiple...

We consider an extension of the classical secretary problem where a decision maker observes only the relative ranks of a sequence of up to N applicants, whose true values are i.i.d. U[0,1] random variables. Applicants arrive according to a homogeneous Poisson Process, and the decision maker...

Linear programming is a tool that has been successfully applied to various problems across many different industries and businesses. However, it appears that casino operators may have overlooked this useful and proven method. At most casino properties the bulk of gaming revenues are derived from...

Dust elevated into the atmosphere by dust storms has numerous environmental consequences. These include contributing to climate change; modifying local weather conditions; producing chemical and biological changes in the oceans; and affecting soil formation, surface water, groundwater quality,...

This thesis develops a new Bayesian approach to structural break modeling. The focuses of the approach are the modeling of in-sample structural breaks and forecasting time series allowing out-of-sample breaks. Our model has some desirable features. First, the number of regimes is not fixed and...

We considered the problem of predicting student retention using logistic regression when the most important covariates such as the college variables are latent, but the network structure is known. This network structure specifies the relationship between pre-college to college variables and then...

Purpose – The major aim of this paper is to model, estimate and compare the technical efficiency and technology gap ratios of health care foodservice operations that operate in different Australian regions. Design/methodology/approach – This paper uses a metafrontier model to analyse the...

This thesis considers the predictability of asset prices for financial reserving via a cascade style stochastic investment model for the asset classes of cash, equities and fixed interest. Structural breaks occur in 1947 and 1973 but stability since then means that stochastic investment...