Statistical methods for financial engineering / (Record no. 5062)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 02373nam a2200181Ia 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200820161752.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 160802s9999 xx 000 0 und d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9781439856949 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | eng |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.015195 |
| Item number | REM-S |
| 100 ## - MAIN ENTRY--AUTHOR NAME | |
| Personal name | Remillard, Bruno |
| 245 ## - TITLE STATEMENT | |
| Title | Statistical methods for financial engineering / |
| Statement of responsibility, etc | by Bruno Remillard |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher | CRC Press, |
| Year of publication | 2013. |
| Place of publication | London: |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | xxxiii,462p |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1.Black-scholes model the black-scholes model dynamic model for an assetestimation of parameters estimation errors black-scholes formulagreeksestimation of greeks using the broadie-glasserman methodologies--<br/>2.multivariate black-scholes model black-scholes model for several assetsestimation of parametersestimation errorsevaluation of options on several assetsgreeks--<br/>3.Discussion of the black-scholes modelcritiques of the modelsome extensions of the black-scholes modeldiscrete time hedging optimal quadratic mean hedging--<br/>4.measures of risk and performancemeasures of riskestimation of measures of risk by monte carlo methodsmeasures of risk and the delta-gamma approximationperformance measures--<br/>5.Modeling interest rates introduction vasicek modelcox-ingersoll-ross (cir) modelother models for the spot rates--<br/>6.levy models complete models stochastic processes with jumpslevy processesexamples of levy processeschange of distributionmodel implementation and estimation of parameters--<br/>7.Stochastic volatility models garch modelsestimation of parametersduan methodology of option pricingstochastic volatility model of hull-whitestochastic volatility model of heston—<br/>8.Copulas and applications weak replication of hedge funds default riskmodeling dependencebivariate copulasmeasures of dependencemultivariate copulasfamilies of copulasestimation of the parameters of copula modelstests of independence tests of goodness-of-fitexample of implementation of a copula modelfilteringdescription of the<br/>9. Filtering problem kalman filterimm filter general filtering problem computation of the conditional densities particle filters--<br/>10.applications of filtering estimation of arma modelsregime-switching markov modelsreplication of hedge fundsappendix--<br/>A: probability distributionsappendix –-<br/>B.estimation of parameters.<br/> |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical Term | Financial engineeering-Statistical methods 2. Finance-St |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Lost status | Damaged status | Collection code | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Full call number | Accession Number | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|
| Non Fiction | Library, SPAB | Library, SPAB | F-1 | 02/08/2016 | 006791332.015195 REM-S 00000334 20130809 C-6792 20130827 BARODA GBP00005799 SPAB/LIB/2009-10/B | 332.015195 REM-S | 006791 | Text/Reserve Book |