Statistical methods for financial engineering

Statistical methods for financial engineering [electronic resource] / Bruno Rémillard.

While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implem...

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Bibliographic Details
Online Access: Full Text (via Taylor & Francis)
Main Author: Rémillard, Bruno
Format: Electronic eBook
Language:English
Published: Boca Raton, FL : CRC Press, [2013]
©2013.
Subjects:
Financial engineering > Statistical methods.
Finance > Statistical methods.
Table of Contents:
  • 1. Black-Scholes model
  • 2. Multivariate Black-Scholes model
  • 3. Discussion of the Black-Scholes model
  • 4. Measures of risk and performance
  • 5. Modeling interest rates
  • 6. Lv̌y models
  • 7. Stochastic volatility models
  • 8. Copulas and applications
  • 9. Filtering
  • 10. Applications of filtering
  • A. Probability distributions
  • B. Estimation of parameters.

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