Summary Statistics Of Implied Probability Density Functions And Their Properties

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Summary Statistics of Implied Probability Density Functions and Their Properties

Author : Damien P.G. Lynch
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Summary Statistics of Implied Probability Density Functions and Their Properties by : Damien P.G. Lynch

Download or read book Summary Statistics of Implied Probability Density Functions and Their Properties written by Damien P.G. Lynch and published by . This book was released on 2002 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: The statistics that summarise the probability distributions implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. This paper considers implied pdfs with a constant horizon of three months for Samp;P 500, FTSE 100, eurodollar and short-sterling. A time series analysis of the summary statistics provides some stylised facts about the behaviour of different elements of market expectations, their historical distribution and the relationships between them. The distributions of these measures provide information on past revisions to market expectations including the relative likelihood of upward rather than downward revisions and the extent to which these revisions were large. The similarity and relative stability of alternative measures for each element of market expectations is assessed to select a subset of summary statistics that can sufficiently reflect the information contained in the implied pdfs. Relationships between implied pdf summary statistics and movements in underlying assets are considered. Cross asset and cross country comparisons between the summary statistics series are also useful in revealing relations and/or associations between market participants' expectations about equity price and interest rate movements. Finally the information content of the implied pdfs for future macroeconomic and financial variables is assessed.

Summary Statistics of Option-implied Probability Density Functions and Their Properties

Author : Damien Lynch
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (778 download)

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Book Synopsis Summary Statistics of Option-implied Probability Density Functions and Their Properties by : Damien Lynch

Download or read book Summary Statistics of Option-implied Probability Density Functions and Their Properties written by Damien Lynch and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Summary Statistics of Implied Probability Density Functions

Author : Damien P.G. Lynch
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Summary Statistics of Implied Probability Density Functions by : Damien P.G. Lynch

Download or read book Summary Statistics of Implied Probability Density Functions written by Damien P.G. Lynch and published by . This book was released on 2002 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The statistics that summarise the probability distributions implied from option prices can be used to assess market expectations about future uncertainty, asymmetry and the probability of extreme movements in asset prices. This paper considers implied pdfs with a constant horizon of three months for Samp;P 500, FTSE 100, eurodollar and short-sterling. A time series analysis of the summary statistics provides some stylised facts about the behaviour of different elements of market expectations, their historical distribution and the relationships between them. The distributions of these measures provide information on past revisions to market expectations including the relative likelihood of upward rather than downward revisions and the extent to which these revisions were large. The similarity and relative stability of alternative measures for each element of market expectations is assessed to select a subset of summary statistics that can sufficiently reflect the information contained in the implied pdfs. Relationships between implied pdf summary statistics and movements in underlying assets are considered. Cross asset and cross country comparisons between the summary statistics series are also useful in revealing relations and/or associations between market participants' expectations about equity price and interest rate movements. Finally the information content of the implied pdfs for future macroeconomic and financial variables is assessed.

Testing the Stability of Implied Probability Density Functions

Author : Robert R. Bliss
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Testing the Stability of Implied Probability Density Functions by : Robert R. Bliss

Download or read book Testing the Stability of Implied Probability Density Functions written by Robert R. Bliss and published by . This book was released on 2000 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Testing the Stability of Implied Probability Density Functions

Author : Robert R. Bliss
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Testing the Stability of Implied Probability Density Functions by : Robert R. Bliss

Download or read book Testing the Stability of Implied Probability Density Functions written by Robert R. Bliss and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Implied probability density functions (PDFs) estimated from cross-sections of observed option prices are gaining increasing attention amongst academics and practitioners. However, to date little attention has been paid to the robustness of these estimates or to the confidence users can place in the summary statistics, for example skewness or the 99th percentile, derived from fitted PDFs. This paper begins to address these questions by examining the absolute and relative robustness of two of the most common methods for estimating implied PDFs--the double-lognormal approximating function and the smoothed implied volatility smile methods. The changes resulting from randomly perturbing quoted prices by no more than a half tick provide a lower bound on the confidence intervals of the summary statistics derived from the estimated PDFs. Tests are conducted using options contracts tied to Short Sterling futures and the FTSE 100 index--both trading on the London International Financial Futures Exchange. Our tests show that the smoothed implied volatility smile method dominates the double-lognormal as a technique for estimating implied PDFs when average goodness-of-fits are comparable for both methods.

Forecasting Volatility in the Financial Markets

Author : Stephen Satchell
Publisher : Elsevier
ISBN 13 : 0080494978
Total Pages : 417 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Forecasting Volatility in the Financial Markets by : Stephen Satchell

Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2002-08-22 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.* Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

Information Content of Implied Probability Distributions

Author : Shigenori Shiratsuka
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Information Content of Implied Probability Distributions by : Shigenori Shiratsuka

Download or read book Information Content of Implied Probability Distributions written by Shigenori Shiratsuka and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistics and Analysis of Scientific Data

Author : Massimiliano Bonamente
Publisher : Springer Nature
ISBN 13 : 9811903654
Total Pages : 492 pages
Book Rating : 4.8/5 (119 download)

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Book Synopsis Statistics and Analysis of Scientific Data by : Massimiliano Bonamente

Download or read book Statistics and Analysis of Scientific Data written by Massimiliano Bonamente and published by Springer Nature. This book was released on 2022-07-12 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the third edition of a successful textbook for upper-undergraduate and early graduate students, which offers a solid foundation in probability theory and statistics and their application to physical sciences, engineering, biomedical sciences and related disciplines. It provides broad coverage ranging from conventional textbook content of probability theory, random variables, and their statistics, regression, and parameter estimation, to modern methods including Monte-Carlo Markov chains, resampling methods and low-count statistics. In addition to minor corrections and adjusting structure of the content, particular features in this new edition include: Python codes and machine-readable data for all examples, classic experiments, and exercises, which are now more accessible to students and instructors New chapters on low-count statistics including the Poisson-based Cash statistic for regression in the low-count regime, and on contingency tables and diagnostic testing. An additional example of classic experiments based on testing data for SARS-COV-2 to demonstrate practical applications of the described statistical methods. This edition inherits the main pedagogical method of earlier versions—a theory-then-application approach—where emphasis is placed first on a sound understanding of the underlying theory of a topic, which becomes the basis for an efficient and practical application of the materials. Basic calculus is used in some of the derivations, and no previous background in probability and statistics is required. The book includes many numerical tables of data as well as exercises and examples to aid the readers' understanding of the topic.

Operational Modal Analysis

Author : Siu-Kui Au
Publisher : Springer
ISBN 13 : 9811041180
Total Pages : 552 pages
Book Rating : 4.8/5 (11 download)

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Book Synopsis Operational Modal Analysis by : Siu-Kui Au

Download or read book Operational Modal Analysis written by Siu-Kui Au and published by Springer. This book was released on 2017-06-25 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents operational modal analysis (OMA), employing a coherent and comprehensive Bayesian framework for modal identification and covering stochastic modeling, theoretical formulations, computational algorithms, and practical applications. Mathematical similarities and philosophical differences between Bayesian and classical statistical approaches to system identification are discussed, allowing their mathematical tools to be shared and their results correctly interpreted. The authors provide their data freely in the web at https://doi.org/10.7910/DVN/7EVTXG Many chapters can be used as lecture notes for the general topic they cover beyond the OMA context. After an introductory chapter (1), Chapters 2–7 present the general theory of stochastic modeling and analysis of ambient vibrations. Readers are first introduced to the spectral analysis of deterministic time series (2) and structural dynamics (3), which do not require the use of probability concepts. The concepts and techniques in these chapters are subsequently extended to a probabilistic context in Chapter 4 (on stochastic processes) and in Chapter 5 (on stochastic structural dynamics). In turn, Chapter 6 introduces the basics of ambient vibration instrumentation and data characteristics, while Chapter 7 discusses the analysis and simulation of OMA data, covering different types of data encountered in practice. Bayesian and classical statistical approaches to system identification are introduced in a general context in Chapters 8 and 9, respectively. Chapter 10 provides an overview of different Bayesian OMA formulations, followed by a general discussion of computational issues in Chapter 11. Efficient algorithms for different contexts are discussed in Chapters 12–14 (single mode, multi-mode, and multi-setup). Intended for readers with a minimal background in mathematics, Chapter 15 presents the ‘uncertainty laws’ in OMA, one of the latest advances that establish the achievable precision limit of OMA and provide a scientific basis for planning ambient vibration tests. Lastly Chapter 16 discusses the mathematical theory behind the results in Chapter 15, addressing the needs of researchers interested in learning the techniques for further development. Three appendix chapters round out the coverage. This book is primarily intended for graduate/senior undergraduate students and researchers, although practitioners will also find the book a useful reference guide. It covers materials from introductory to advanced level, which are classified accordingly to ensure easy access. Readers with an undergraduate-level background in probability and statistics will find the book an invaluable resource, regardless of whether they are Bayesian or non-Bayesian.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

The Oxford Handbook of Quantitative Methods, Vol. 2: Statistical Analysis

Author : Todd D. Little
Publisher : Oxford University Press
ISBN 13 : 0199934908
Total Pages : 784 pages
Book Rating : 4.1/5 (999 download)

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Book Synopsis The Oxford Handbook of Quantitative Methods, Vol. 2: Statistical Analysis by : Todd D. Little

Download or read book The Oxford Handbook of Quantitative Methods, Vol. 2: Statistical Analysis written by Todd D. Little and published by Oxford University Press. This book was released on 2013-02-01 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research today demands the application of sophisticated and powerful research tools. Fulfilling this need, The Oxford Handbook of Quantitative Methods is the complete tool box to deliver the most valid and generalizable answers to todays complex research questions. It is a one-stop source for learning and reviewing current best-practices in quantitative methods as practiced in the social, behavioral, and educational sciences. Comprising two volumes, this handbook covers a wealth of topics related to quantitative research methods. It begins with essential philosophical and ethical issues related to science and quantitative research. It then addresses core measurement topics before delving into the design of studies. Principal issues related to modern estimation and mathematical modeling are also detailed. Topics in the handbook then segway into the realm of statistical inference and modeling with chapters dedicated to classical approaches as well as modern latent variable approaches. Numerous chapters associated with longitudinal data and more specialized techniques round out this broad selection of topics. Comprehensive, authoritative, and user-friendly, this two-volume set will be an indispensable resource for serious researchers across the social, behavioral, and educational sciences.

Systemic Contingent Claims Analysis

Author : Mr.Andreas A. Jobst
Publisher : International Monetary Fund
ISBN 13 : 1475557531
Total Pages : 93 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Systemic Contingent Claims Analysis by : Mr.Andreas A. Jobst

Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.

Using R for Modelling and Quantitative Methods in Fisheries

Author : Malcolm Haddon
Publisher : CRC Press
ISBN 13 : 1000079236
Total Pages : 353 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis Using R for Modelling and Quantitative Methods in Fisheries by : Malcolm Haddon

Download or read book Using R for Modelling and Quantitative Methods in Fisheries written by Malcolm Haddon and published by CRC Press. This book was released on 2020-08-27 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using R for Modelling and Quantitative Methods in Fisheries has evolved and been adapted from an earlier book by the same author and provides a detailed introduction to analytical methods commonly used by fishery scientists, ecologists, and advanced students using the open-source software R as a programming tool. Some knowledge of R is assumed, as this is a book about using R, but an introduction to the development and working of functions, and how one can explore the contents of R functions and packages, is provided. The example analyses proceed step-by-step using code listed in the book and from the book’s companion R package, MQMF, available from GitHub and the standard archive, CRAN. The examples are designed to be simple to modify so the reader can quickly adapt the methods described to use with their own data. A primary aim of the book is to be a useful resource to natural resource practitioners and students. Featured Chapters: Model Parameter Estimation provides a detailed explanation of the requirements and steps involved in fitting models to data, using R and, mainly, maximum likelihood methods. On Uncertainty uses R to implement bootstrapping, likelihood profiles, asymptotic errors, and Bayesian posteriors to characterize any uncertainty in an analysis. The use of the Monte Carlo Markov Chain methodology is examined in some detail. Surplus Production Models applies all the methods examined in the earlier parts of the book to conducting a stock assessment. This included fitting alternative models to the available data, characterizing the uncertainty in different ways, and projecting the optimum models forward in time as the basis for providing useful management advice.

Rolling Bearing Analysis - 2 Volume Set

Author : Tedric A. Harris
Publisher : CRC Press
ISBN 13 : 0429621027
Total Pages : 763 pages
Book Rating : 4.4/5 (296 download)

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Book Synopsis Rolling Bearing Analysis - 2 Volume Set by : Tedric A. Harris

Download or read book Rolling Bearing Analysis - 2 Volume Set written by Tedric A. Harris and published by CRC Press. This book was released on 2006-11-02 with total page 763 pages. Available in PDF, EPUB and Kindle. Book excerpt: For the last four decades, Tedric Harris' Rolling Bearing Analysis has been the "bible" for engineers involved in rolling bearing technology. Why do so many students and practicing engineers rely on this book? The answer is simple: because of its complete coverage from low- to high-speed applications and full derivations of the underlying mathematics from a leader in the field. Updated, revamped, and reorganized for the new millennium, the fifth incarnation of this classic reference is the most modern, flexible, and interactive tool in the field. What makes this edition so revolutionary? For starters, the coverage is split conveniently into two books: Essential Concepts of Bearing Technology introduces the fundamentals involved in the use, design, and performance of rolling bearings for more common applications; Advanced Concepts of Bearing Technology delves into more advanced topics involving more dynamic loading, more extreme conditions, and higher-speed applications. Furthermore, each book in this edition includes a CD-ROM that contains numerical examples as well as tables of dimensional, mounting, and life-rating data obtained from ABMA/ANSI standards. Whether you are interested in the mathematics behind the empirical values or methods for estimating the effects of complex stresses on fatigue endurance, Rolling Bearing Analysis, Fifth Edition compiles the techniques and the data that you need in a single, authoritative resource.

Statistical Parametric Mapping: The Analysis of Functional Brain Images

Author : William D. Penny
Publisher : Elsevier
ISBN 13 : 0080466508
Total Pages : 689 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Statistical Parametric Mapping: The Analysis of Functional Brain Images by : William D. Penny

Download or read book Statistical Parametric Mapping: The Analysis of Functional Brain Images written by William D. Penny and published by Elsevier. This book was released on 2011-04-28 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an age where the amount of data collected from brain imaging is increasing constantly, it is of critical importance to analyse those data within an accepted framework to ensure proper integration and comparison of the information collected. This book describes the ideas and procedures that underlie the analysis of signals produced by the brain. The aim is to understand how the brain works, in terms of its functional architecture and dynamics. This book provides the background and methodology for the analysis of all types of brain imaging data, from functional magnetic resonance imaging to magnetoencephalography. Critically, Statistical Parametric Mapping provides a widely accepted conceptual framework which allows treatment of all these different modalities. This rests on an understanding of the brain's functional anatomy and the way that measured signals are caused experimentally. The book takes the reader from the basic concepts underlying the analysis of neuroimaging data to cutting edge approaches that would be difficult to find in any other source. Critically, the material is presented in an incremental way so that the reader can understand the precedents for each new development. This book will be particularly useful to neuroscientists engaged in any form of brain mapping; who have to contend with the real-world problems of data analysis and understanding the techniques they are using. It is primarily a scientific treatment and a didactic introduction to the analysis of brain imaging data. It can be used as both a textbook for students and scientists starting to use the techniques, as well as a reference for practicing neuroscientists. The book also serves as a companion to the software packages that have been developed for brain imaging data analysis. An essential reference and companion for users of the SPM software Provides a complete description of the concepts and procedures entailed by the analysis of brain images Offers full didactic treatment of the basic mathematics behind the analysis of brain imaging data Stands as a compendium of all the advances in neuroimaging data analysis over the past decade Adopts an easy to understand and incremental approach that takes the reader from basic statistics to state of the art approaches such as Variational Bayes Structured treatment of data analysis issues that links different modalities and models Includes a series of appendices and tutorial-style chapters that makes even the most sophisticated approaches accessible

Reliability Abstracts and Technical Reviews

Author : United States. National Aeronautics and Space Administration. Office of Reliability and Quality Assurance
Publisher :
ISBN 13 :
Total Pages : 602 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Reliability Abstracts and Technical Reviews by : United States. National Aeronautics and Space Administration. Office of Reliability and Quality Assurance

Download or read book Reliability Abstracts and Technical Reviews written by United States. National Aeronautics and Space Administration. Office of Reliability and Quality Assurance and published by . This book was released on 1968 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Shape Analysis in Medical Image Analysis

Author : Shuo Li
Publisher : Springer Science & Business Media
ISBN 13 : 3319038133
Total Pages : 441 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Shape Analysis in Medical Image Analysis by : Shuo Li

Download or read book Shape Analysis in Medical Image Analysis written by Shuo Li and published by Springer Science & Business Media. This book was released on 2014-01-28 with total page 441 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains thirteen contributions from invited experts of international recognition addressing important issues in shape analysis in medical image analysis, including techniques for image segmentation, registration, modelling and classification and applications in biology, as well as in cardiac, brain, spine, chest, lung and clinical practice. This volume treats topics such as for example, anatomic and functional shape representation and matching; shape-based medical image segmentation; shape registration; statistical shape analysis; shape deformation; shape-based abnormity detection; shape tracking and longitudinal shape analysis; machine learning for shape modeling and analysis; shape-based computer-aided-diagnosis; shape-based medical navigation; benchmark and validation of shape representation, analysis and modeling algorithms. This work will be of interest to researchers, students and manufacturers in the fields of artificial intelligence, bioengineering, biomechanics, computational mechanics, computational vision, computer sciences, human motion, mathematics, medical imaging, medicine, pattern recognition and physics.