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!)
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.
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
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.
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.
Marshall Business School, Los Angeles, CA, 2013-2014:
Applied Business Statistics
State University, Fullerton, CA, 2011-2013:
Mathematical Probability, Introduction to Probability and Statistics, Applied Statistics to Natural Sciences
University, Houston, TX, 2008-2011:
Extreme Value Theory, Quantitative Financial Risk Management, Introduction to Regression and Statistical Computing, Seminars in Quantitative Finance
of Houston, Houston, TX, 2008:
Statistical Analysis for Business Applications
of Michigan, Ann Arbor, MI, 2002-2008:
Introduction to Statistics and Data Analysis, Graduate Statistics Workshops
Michigan University, Ypsilanti, MI, 2007: