Statistical Methods for Financial Engineering
Bruno Remillard, HEC Montreal
CRC Press, Inc., 2013
ISBN: 978-1-4398-5694-9;
Language: English
Written for graduate students and professionals, Statistical Methods for Financial Engineering describes how to implement stochastic models used in financial engineering. The book discusses limits of the Black-Scholes model, statistical tests to verify some of its assumptions, and the challenges of dynamic hedging in discrete time. Topics include modeling interest rates, Lévy models, stochastic volatility models, and copulas and applications.
MATLAB and the Statistics and Machine Learning Toolbox are used to solve numerous examples in the book. In addition, a supplemental set of MATLAB program files is available for download.
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