Stochastic Volatility Effects on Correlated Log-Normal Random Variables

Stochastic Galerkin Finite Element Method with Log-normal Random Field

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ii Tiivistelmä (in Finnish) . . . . . . . . . . . . . . . . . . . . . . . . . . . . iii Acknowledgments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . iv

Statistical assessment of QT/QTc prolongation based on maximum of correlated normal random variables.

To establish noninferiority in QT/QTc prolongation of a test drug with respect to either a placebo or an active control, a thorough QT/QTc study is recommended by ICH (ICH E14, ICH 2005) which concerns statistical inference on the maximal time-matched drug effect. The existing statistical methods for assessing such effects suffer either power loss or parameter restriction. In this paper, we pro...

A note on generating random variables with log-concave densities

We present a black-box style rejection method that is valid for generating random variables with any log-concave density, provided that one knows a mode of the density, which is known only up to a constant factor.

Stochastic Volatility Effects on Defaultable Bonds

We study the effect of introducing stochastic volatility in the first passage structural approach to default risk. We analyze the impact of volatility time scales on the yield spread curve. In particular we show that the presence of a short time scale in the volatility raises the yield spreads at short maturities. We argue that combining first passage default modeling with multiscale stochastic...

Random Variables and Stochastic Processes