Kam Hamidieh

University of Pennsylvania

Philadelphia, PA 19104

United States

Statistics and Data Sciences

2317 Speedway

Austin, TX Texas 78712

United States

  • University of Pennsylvania

  • Statistics and Data Sciences

SCHOLARLY PAPERS

4

DOWNLOADS

901

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

Actions:
Email selected abstracts
1.

Estimating the Tail Shape Parameter from Option Prices

Number of pages: 62 Posted: 10 Oct 2011 Last Revised: 08 Jan 2015
Kam Hamidieh and Kam Hamidieh
Statistics and Data SciencesUniversity of Pennsylvania
Downloads 470 (119,255)
Citation 4

Abstract:

Loading...

Options, Option Pricing, Risk Neutral Density, Generalized Pareto, S&P 500

2.

Measuring Downside and Upside Volatilities from Options

Marshall School of Business Working Paper No. DSO 01.13
Number of pages: 24 Posted: 29 Jun 2013 Last Revised: 07 Apr 2015
Kam Hamidieh and Kam Hamidieh
Statistics and Data SciencesUniversity of Pennsylvania
Downloads 227 (257,853)

Abstract:

Loading...

Options, S&P 500, Volatility

3.

Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk

Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 28 Posted: 25 Mar 2008 Last Revised: 06 Apr 2015
Kam Hamidieh, Kam Hamidieh, Stilian Stoev and George Michailidis
Statistics and Data SciencesUniversity of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 144 (385,069)

Abstract:

Loading...

Point Processes, Clustering, Autoregressive Conditional Duration, Extreme Risk, Generalized Pareto Distribution

4.

On the Estimation of the Extremal Index Based on Scaling and Resampling

Journal of Computational and Graphical Statistics, Vol. 18, No. 3, pp. 731-755, 2009
Number of pages: 38 Posted: 14 Apr 2010
Kam Hamidieh, Kam Hamidieh, Stilian Stoev and George Michailidis
Statistics and Data SciencesUniversity of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 60 (677,577)

Abstract:

Loading...

Extremal Index, Clustering, Asymptotic normality, Bootstrap, Heavy tails, Permutation