This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

This monograph investigates violations of statistical stability of physical events, variables, and processes and develops a new physical-mathematical theory taking into consideration such violations – the theory of hyper-random phenomena. There are five parts. The first describes the phenomenon of statistical stability and its features, and develops methods for detecting violations of statistical stability, in particular when data is limited. The second part presents several examples of real processes of different physical nature and demonstrates the violation of statistical stability over broad observation intervals. The third part outlines the mathematical foundations of the theory of hyper-random phenomena, while the fourth develops the foundations of the mathematical analysis of divergent and many-valued functions. The fifth part contains theoretical and experimental studies of statistical laws where there is violation of statistical stability. The monograph should be of particular interest to engineers and scientists in general who study the phenomenon of statistical stability and use statistical methods for high-precision measurements, prediction, and signal processing over long observation intervals.

The book deals with Berry-Esseen-type inequalities, asymptotic expansions, non-uniform estimates, U-statistics, and the density problem.

Available in English for the first time, this classic and influential book by the late Kohei Ohtsu presents real examples of ships in motion under irregular ocean waves, how to understand the characteristics of fluctuations of stochastic phenomena through spectral analysis methods and statistical modeling. It also explains how to realize prediction and optimal control based on time series models. In recent years, the need to improve safety and reduce environmental impact in ship operations has been increasing, and the statistical methods presented in this book will be increasingly needed in the future. In addition, the recent development of innovative AI technology and highspeed communications will make it possible to adapt this method not only to ship monitoring and control, but also to any field that involves irregular fluctuations, and it is expected to contribute to solving issues that have been difficult to solve in the past. Part 1 describes classical spectral method for the analysis of stochastic phenomena. In Part 2, this book explains methods to construct time series models using the information criterion, to capture the characteristics of ship and engine motions using the model, to design a model-based monitoring system that informs navigators operating the ship and managers ashore. Furthermore, it explains statistical control method to design an autopilot system and the governor of a marine engine, while showing actual examples. Part 3 presents the basic knowledge necessary for understanding these topics of the book, namely, the basic theory of ship motion, probability and statistics, Kalman filter and statistical optimal control theory.