Value at Risk is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities of the market prices of a portfolio. In addition, both parametric and nonparametric techniques are proposed to estimate the quantiles of standardized return processes. The newly proposed techniques also have the flexibility to adapt automatically to the changes in the dynamics of market prices over time. Their statistical efficiencies are studied both theoretically and empirically. The combination of newly proposed techniques for estimating volatility and standardized quantiles yields several new techniques for forecasting multiple period VaR. The performance of the newly proposed VaR estimators is evaluated and compared with some of existing methods. Our simulation results and empirical studies endorse the newly proposed time-dependent semiparametric approach for estimating VaR.

Simplicial, piecewise-flat discretizations of manifolds provide a clear path towards curvature analysis on discrete geometries and for solutions of PDE's on manifolds of complex topologies. In this manuscript we review and expand on discrete exterior calculus methods using hybrid domains. We then analyze the geometric structure of curvature operators in a piecewise-flat lattice.

If 𝑈:[0,+∞[×𝑀 is a uniformly continuous viscosity solution of the evolution Hamilton-Jacobi equation ∂_𝑡𝑈+𝐻(𝑥,∂_𝑥 𝑈)=0, where 𝑀 is a not necessarily compact manifold, and 𝐻 is a Tonelli Hamiltonian, we prove the set Σ(𝑈), of points in ]0,+∞[×𝑀 where 𝑈 is not differentiable, is locally contractible. Moreover, we study the homotopy type of Σ(𝑈). We also give an application to the singularities of the distance function to a closed subset of a complete Riemannian manifold.

The main purpose of this paper is to classify exchange relation planar algebras with 4 dimensional 2-boxes. Besides its skein theory, we emphasize the positivity of subfactor planar algebras based on the Schur product theorem. We will discuss the lattice of projections of 2-boxes, specifically the rank of the projections. From this point, several results about biprojections are obtained. The key break of the classification is to show the existence of a biprojection. By this method, we also classify another two families of subfactor planar algebras: subfactor planar algebras generated by 2-boxes with 4 dimensional 2-boxes and at most 23 dimensional 3-boxes; subfactor planar algebras generated by 2-boxes, such that the quotient of 3-boxes by the basic construction ideal is abelian. They extend the classification of singly generated planar algebras obtained by Bisch, Jones and the author.

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