000			02373nam a2200181Ia 4500
999			_c5062 _d5062
005			20200820161752.0
008			160802s9999 xx 000 0 und d
020			_a9781439856949
041			_aeng
082			_a332.015195 _bREM-S
100			_aRemillard, Bruno _929285
245			_aStatistical methods for financial engineering / _cby Bruno Remillard
260			_bCRC Press, _c2013. _aLondon:
300			_axxxiii,462p
505			_a1.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.
650			_aFinancial engineeering-Statistical methods 2. Finance-St _929286
942			_cBK