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
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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
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
- 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