Statistical methods for financial engineering / by Bruno Remillard

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--
2.multivariate black-scholes model black-scholes model for several assetsestimation of parametersestimation errorsevaluation of options on several assetsgreeks--
3.Discussion of the black-scholes modelcritiques of the modelsome extensions of the black-scholes modeldiscrete time hedging optimal quadratic mean hedging--
4.measures of risk and performancemeasures of riskestimation of measures of risk by monte carlo methodsmeasures of risk and the delta-gamma approximationperformance measures--
5.Modeling interest rates introduction vasicek modelcox-ingersoll-ross (cir) modelother models for the spot rates--
6.levy models complete models stochastic processes with jumpslevy processesexamples of levy processeschange of distributionmodel implementation and estimation of parameters--
7.Stochastic volatility models garch modelsestimation of parametersduan methodology of option pricingstochastic volatility model of hull-whitestochastic volatility model of heston—
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
9. Filtering problem kalman filterimm filter general filtering problem computation of the conditional densities particle filters--
10.applications of filtering estimation of arma modelsregime-switching markov modelsreplication of hedge fundsappendix--
A: probability distributionsappendix –-
B.estimation of parameters.