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This is the website of Kam Hamidieh. I am an Assistant Professor of Clinical Studies at USC Marshall School of Business Data Sciences and Operations department. My areas of interests are in statistics, statistical software, computational statistics, risk management, actuarial sciences, and applied predictive modeling. Click here for a brief resume.

 

Some past and current projects:

       A General Method to Extract the Density Implied by Options from Actuarial Perspective with Applications to WTI and Brent Crude Oil Options. (Under development!)

       R Package RND (Risk Neutral Density), 2014. Under development.
This is an R package to extract the risk neutral density from option prices.
See a YouTube demo of the package here.

       Estimating the Tail Shape Parameter from Option Prices, 2013. Submitted for publication.
A method to estimate the tail shape parameter of the risk neutral density from option prices is developed.

       Measuring Downside and Upside Volatilities from Options, 2013. Submitted for publication.
A method to extract the downside and upside implied volatilities from options is developed.

       Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk, 2012, Applied Stochastic Models in Business and Industry.
A method for the estimation of extreme loss event probability and the value at risk, which takes into account both the magnitudes and the intensity of the extreme losses, is developed.

       A Simple Method for Time Scaling Value-at-Risk: Let the Data Speak for Themselves, 2010, Journal of Risk Management in Financial Institutions.
New empirical and data based scaling factors are introduced to scale the 1 day VaR to 5 and 10 days VaR.

       On the Estimation of the Extremal Index Based on Scaling and Resampling, 2009, Journal of Computational and Graphical Statistics.
A novel estimator for the extremal index, which is a parameter that measures the degree of the clustering of extremes, is introduced and developed.

 

Teaching:

       USC Marshall Business School, Los Angeles, CA, 2013-2014:
Applied Business Statistics

       California State University, Fullerton, CA, 2011-2013:
Mathematical Probability, Introduction to Probability and Statistics, Applied Statistics to Natural Sciences

       Rice University, Houston, TX, 2008-2011:
Extreme Value Theory, Quantitative Financial Risk Management, Introduction to Regression and Statistical Computing, Seminars in Quantitative Finance

       University of Houston, Houston, TX, 2008:
Statistical Analysis for Business Applications

       University of Michigan, Ann Arbor, MI, 2002-2008:
Introduction to Statistics and Data Analysis, Graduate Statistics Workshops

       Eastern Michigan University, Ypsilanti, MI, 2007:
Introductory Statistics