Statistical methods for financial engineering
DOI10.1201/B14285zbMATH Open1273.91010OpenAlexW324623452MaRDI QIDQ3101682FDOQ3101682
Authors: Bruno Rémillard 
Publication date: 30 November 2011
Full work available at URL: https://doi.org/10.1201/b14285
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Actuarial science and mathematical finance (91Gxx) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06)
Cited In (30)
- On elicitable risk measures
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
- Serial independence tests for innovations of conditional mean and variance models
- Optimal Statistical Inference in Financial Engineering
- Single-index copulas
- Expectiles, omega ratios and stochastic ordering
- De-risking strategy: longevity spread buy-in
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
- Detection of block-exchangeable structure in large-scale correlation matrices
- Forecasting time series with multivariate copulas
- American-style options in jump-diffusion models: estimation and evaluation
- On copula-based conditional quantile estimators
- A two-factor structural model for valuing corporate securities
- Scenario aggregation method for portfolio expectile optimization
- Statistical models and methods for financial markets
- A model-point approach to indifference pricing of life insurance portfolios with dependent lives
- Statistics and Data Analysis for Financial Engineering
- Semi-parametric copula-based models under non-stationarity
- Copula modeling from Abe Sklar to the present day
- Tests of independence and randomness for arbitrary data using copula-based covariances
- Stochastic filtering with application in finance
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- Tweedie double GLM loss triangles with dependence within and across business lines
- Identifiability and estimation of meta-elliptical copula generators
- Statistics and Data Analysis for Financial Engineering
- Tests of serial dependence for multivariate time series with arbitrary distributions
- Maximum likelihood estimation of multivariate regime switching Student-\(t\) copula models
- Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters
- Moment method estimation of first-order continuous-time bilinear processes
- Performance measurement with expectiles
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