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Practical information

Technical reports

TR-10-02
pdf

Van Damme, G. (2010).
A generic framework for Stochastic Loss-Given-Default.

TR-10-01
pdf

Hubert, M., Rousseeuw, P.J., Verdonck, T. (2010).
A deterministic algorithm for the MCD.

TR-09-03
pdf

Hubert, M., Van der Veeken, S. (2009).
Robust Classification for Skewed Data.

TR-09-02
pdf

Desmet, L., Gijbels, I. (2009).
Local Linear fitting and improved estimation near peaks.

TR-09-01
pdf

Dobránszky, P., Schoutens, W. (2009).
Do not forget the cancellation.

TR-08-08
pdf

Jönsson, H., Schoutens, W., Van Damme, G. (2008).
New Models for Rating Asset Backed Securities.

TR-08-07
pdf

Corcuera, J.M., Guillaume, F., Leoni, P., Schoutens, W. (2008).
Implied Lévy Volatility.

TR-08-06
pdf

Guillaume, F., Jacobs, P. and Schoutens, W. (2008).
Pricing and Hedging of CDO-squared tranches by using a one factor Lévy model.

TR-08-05
pdf

Schoutens, W. (2008).
The World of VG.

TR-08-04
pdf

Dobránszky, P. (2008).
Joint Modelling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate.

TR-08-03
pdf

Dobránszky, P. and Schoutens, W. (2008).
Generic Lévy One-Factor Models for the Joint Modelling of Prepayment and Default: Modelling LCDX.

TR-08-02
pdf

Dobránszky, P. (2008).
Numerical Quadratures to Calculate Lévy Base Correlation.

TR-08-01
pdf

Masol, V. and Schoutens, W. (2008).
Comparing Some Alternative Lévy Base Correlation Models for Pricing and Hedging CDO Tranches.

TR-07-11
pdf

Debruyne, M., Hubert, M. and Van Horebeek, J. (2007).
Detecting Influential Observations in Kernel PCA.

TR-07-10
pdf

Jönsson, H. and Schoutens, W. (2007).
Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics.

TR-07-09
pdf

Jönsson, H. and Schoutens, W. (2007).
Single Name Credit Default Swaptions Meet Single Sided Jump Models.

TR-07-08
pdf

Carr, P. and Schoutens, W. (2007).
Hedging under the Heston Model with Jump-to-Default.

TR-07-07
pdf

Madan, D.B. and Schoutens, W. (2007).
Break on Through to the Single Side.

TR-07-06
pdf

Garcia, J., Goossens, S., Masol, V. and Schoutens, W. (2007).
Lévy Base Correlation.

TR-07-05
pdf

Leoni, P. and Schoutens, W. (2007).
Multivariate Smiling.

TR-07-04
pdf

Garcia, J., Goossens, S. and Schoutens, W. (2007).
Let's Jump Together - Pricing of Credit Derivatives: From Index Swaptions to CPPIs.

TR-07-03
pdf

Hubert, M., Rousseeuw, P.J. and Verdonck, T. (2007).
Robust PCA for skewed data.

TR-07-02
pdf

Hubert, M. and Van der Veeken, S. (2007).
Outlier detection for skewed data.

TR-07-01
pdf

Dierckx, G., Beirlant, J. and Guillou, A. (2007).
Asymptotical properties concerning a new estimation method for Weibull type tails.

TR-06-11
pdf

Hubert, M. and Vandervieren, E. (2006).
An adjusted boxplot for skewed distributions.

TR-06-10
pdf

Debruyne, M., Hubert, M., Portnoy, S. and Vanden Branden, K. (2006).
Censored depth quantiles.

TR-06-09
pdf

Debruyne, M., Christmann, A., Hubert, M. and Suykens, J.A.K. (2006).
Robustness and stability of reweighted kernel based regression.

TR-06-08
pdf

Hubert, M. and Engelen, S. (2006).
Fast cross-validation of high-breakdown resampling methods for PCA.

TR-06-07
pdf

Engelen, S. and Hubert, M. (2006).
Detecting outlying samples in a PARAFAC model.

TR-06-06
pdf

Engelen, S., Frosch Møller S., and Hubert, M. (2006).
Automatically identifying scatter in fluorescence data using robust techniques.

TR-06-05
pdf

Albrecher, H., Mayer, P., Schoutens, W. and Tistaert, J. (2006).
The little Heston trap.

TR-06-04
pdf

Antoniadis, A., Bigot, J. and Gijbels, I. (2006).
Penalized wavelet monotone regression. (revised version).

TR-06-03
pdf

Jacome, A., Gijbels, I. and Cao, R. (2006).
Comparison of the Nadaraya-Watson and local linear methods in presmoothed density estimation under censoring.

TR-06-02
pdf

Gao, J., Gijbels, I. and Van Belleghem, S. (2006).
Nonparametric simultaneous testing for structural breaks. (revised version).

TR-06-01
pdf

Debruyne, M. and Hubert, M. (2006).
The influence function of Stahel-Donoho type methods for robust covariance estimation and PCA.

Journal papers

Published in 2006 - 2005 - 2004 - 2003

2006

link	Delaigle, A. and Gijbels, I. (2006). Data-driven boundary estimation in deconvolution problems, Computational Statistics and Data Analysis, 50, 1965-1994.

link	Delaigle, A. and Gijbels, I. (2006). Estimation of boundary and discontinuity points in deconvolution problems, Statistica Sinica, to appear.

link	Gijbels, I., Lambert, A. and Qiu, P. (2006). Edge-preserving image denoising and estimation of discontinuous surfaces, IEEE Transactions on Pattern Analysis and Machine Intelligence, 28, 1075-1087.

link	Gijbels, I., Lambert, A. and Qiu, P. (2006). Jump-preserving regression and smoothing using local linear fitting: a compromise, The Annals of the Institute of Statistical Mathematics, to appear.

2005

2004

Books

Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. (2005).
Statistics of Extremes: Theory and Applications. John Wiley & Sons, New York.

Fan, J. and Gijbels, I. (1996).
Local Polynomial Modelling and Its Applications. Chapman and Hall, London.

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