Remillard, Bruno
Statistical Methods for Financial Engineering
- ISBN 13:
- 9781032477497
- author:
- Remillard, Bruno
- format:
- Paperback
- publisher:
- Taylor & Francis Ltd
- language:
- English
- Publication Year:
- 2023
- Pages:
- 496
- Dimensions:
- 23.4 x 15.6 centimetres (0.92 kg
- Genre:
- Science, Mathematics, Statistics,
- Condition:
- New
- Availability:
- Item usually sent within 10 working days
Description
Statistical Methods for Financial Engineering by Bruno Remillard provides a comprehensive guide to implementing stochastic models in financial engineering. The book introduces properties of univariate and multivariate models, estimation techniques, and discusses the limitations of the Black-Scholes model. It covers key topics such as risk estimation, spot interest rate modeling, Lévy processes, GARCH models, and dependence models, offering practical statistical tools for implementing these models in real-world financial problems. MATLAB programs are included to illustrate the application of these techniques, with additional resources available on the author's website. This self-contained book addresses issues related to stochastic model implementation in the financial industry, providing a basic presentation of stochastic models and their applications.
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