Welcome to our community

Be a part of something great, join today!

Can anyone suggest some reading material for me?

Usagi

Member
Jun 26, 2012
46
Hi guys, I'm doing a quantitative finance research project that is based on the following papers:

"Systemic Risk and Sovereign Debt in the Euro Area" - Deyan Radev (can be downloaded here: Systemic Risk and Sovereign Debt in the Euro Area by Deyan Radev :: SSRN)

and

"Consistent Information Multivariate Density Optimizing Methodology" - Segoviano (found here: http://eprints.lse.ac.uk/24511/1/dp557.pdf)

I have a fairly good mathematical background, however I was wondering if anyone can suggest me some good mathematical texts I can read in order to understand the proofs outlined in the Appendices of Radev's paper, more specifically it is appendix 3 which troubles me the most as I am very unfamiliar with the mathematics in that appendix, so I need to do some background mathematics reading first.

Also with the paper by Segoviano, again I was wondering if anyone can suggest me some good texts to read to understand the maths presented in sections 2.2-2.3 (page 11-16).

In general, I am just wishing to read whatever is required in order to understand the proofs and arguments presented in the aforementioned parts.

Many thanks!
 

Sudharaka

Well-known member
MHB Math Helper
Feb 5, 2012
1,621
Hi Usagi, :)

I have a fairly good mathematical background, however I was wondering if anyone can suggest me some good mathematical texts I can read in order to understand the proofs outlined in the Appendices of Radev's paper, more specifically it is appendix 3 which troubles me the most as I am very unfamiliar with the mathematics in that appendix, so I need to do some background mathematics reading first.
Did you refer,

Botev, Z., and D. Kroese, 2011, The Generalized Cross Entropy Method, with Applications to Probability Density Estimation," Methodology and Computing in Applied Probability, 13 (1): 1-27.

as suggested on Appendix 3 ?