Statistical Methods for Financial Engineering

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. This self-contained book guides current and future practitioners on implementing the most useful stochastic models used in financial engineeri

Autorentext

Bruno Remillard

Inhalt

Black-Scholes Model. Multivariate Black-Scholes Model. Discussion of the Black-Scholes Model. Measures of Risk and Performance. Modeling Interest Rates. Lévy Models. Stochastic Volatility Models. Copulas and Applications. Filtering. Applications of Filtering. Appendices. Index.