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Statistical Methods for Financial Engineering

Statistical Methods for Financial Engineering

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 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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About This Book

Bruno Remillard, HEC Montreal

CRC Press, Inc., 2013

ISBN: 978-1-4398-5694-9
Language: English