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

List of contents

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.

About the author

Bruno Remillard

Summary

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

Product details

• Authors: Bruno Remillard, Remillard Bruno
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Paperback / Softback
• Released: 21.01.2023
• EAN: 9781032477497
• ISBN: 978-1-0-3247749-7
• No. of pages: 496
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > General, dictionaries; BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Probability & Statistics / General, Economic statistics, Finance & accounting, Probability & statistics, Applied mathematics, Probability and statistics, Finance and accounting, Econometrics and economic statistics