Contact info

Jussi Klemelä

Books

The homepage of "Nonparametric Finance"

The homepage of "Multivariate Nonparametric Regression and Visualization" contains the table of contents and a software tutorial.

The homepage of "Smoothing of Multivariate Data" contains preview, software, the figures, and advice to their reproduction.

Publications

• Preprints
• Publications
• Selected Publications
  • J. Klemelä and E. Mammen. (2010). Empirical risk minimization in inverse problems Ann. Statist. 38(1): 482-511.
  • J. Klemelä. (2007). Visualization of multivariate data with tail trees. Information Visualization 6: 109-122.
  • J. Klemelä. (2006). Sharp adaptive estimation of quadratic functionals. Probab. Theory Relat. Fields. 134(4): 539-564.
  • J. Klemelä.(2004). Visualization of multivariate density estimates with level set trees. J. Comput. Graph. Statist. 13(3): 599-620.
  • J. Klemelä and A. B. Tsybakov. (2001). Sharp adaptive estimation of linear functionals. Ann. Statist. 29: 1567-1600.

Software

• R-package "denpro" for the visualization of multivariate functions, in particular for the visualization of multivariate density estimates.


• R-package "regpro" for regression function estimation.


• R-package "delt" for the estimation of multivariate densities with adaptive histograms.


• R-package "finatool" for pricing of options, hedging of options, and portfolio selection (under development).

Teaching

Courses

• Statistical finance
• Market risk analysis
• Statistical Inference
• Analysis of Panel Data
• Statistical Foundations of Econometrics
• Time Series Analysis
• Nonparametric function estimation with applications in finance

Other

• Thesis topics

Talks

• Quantile estimation (PDF)
• Introduction to Times Series Analysis (PDF). Time Series Exercises (PDF)
• Aikasarjat ja ennustaminen (PDF)
• Stylized facts (PDF)
• Portfolio selection (PDF)
• Analysis of dependency with density estimation (PDF)
• Level set trees and the analysis of shapes (PDF)
• Likelihood subsetting of financial data (PDF)
• Empirical risk minimization in inverse problems (PDF)
• Density estimation with stagewise optimization of the empirical risk (PDF)
• Visualization of multivariate functions, sets, and data (PDF)
• Visualization of multivariate density estimates with shape trees (PDF)
• Visualization of multivariate density estimates (PDF)

Lectures on nonparametric function estimation

• Lecture I, 1.10.2007 (PDF)
• Lecture II, 15.10.2007 (PDF)
• Lecture III, 29.10.2007 (PDF)
• Lecture IV, 12.11.2007 (PDF)
• Lecture V, 26.11.2007 (PDF)
• Lecture VI, 10.12.2007 (PDF)

Notes and Animations

• Dynamic hedging of call options
• US Treasury 10 year bond returns for several horizons
• S&P 500 returns for several horizons
• Animations on density estimation
• Growing of a level set tree tree
• Growing of a shape tree
• Growing of a tail tree
• Slices of a function
• CART visualization vs. level set tree visualization
• Animations on statistical finance
• Scatter matrices
• Scatter matrices; copula transformed data
• Scatter matrices; original data
• Hedging
• Hedging with Gaussian asset prices
• Hedging with Student asset prices
• Hedging of an ATM option with Gaussian and Student asset prices
• Profit distributions
• Profit distributions of call options
• Profit distributions of strangles
• Profit distributions of condors
  • Movie I
  • Movie II

January 2016