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