Statistical Methods for Financial Engineering

ISBN: 9781439856949 出版年：2016 页码：490 Remillard, Bruno CRC Press

Black-Scholes Model The Black-Scholes Model Dynamic Model for an Asset Estimation of Parameters Estimation Errors Black-Scholes Formula Greeks Estimation of Greeks using the Broadie-Glasserman Methodologies Multivariate Black-Scholes Model Black-Scholes Model for Several Assets Estimation of Parameters Estimation Errors Evaluation of Options on Several Assets Greeks Discussion of the Black-Scholes Model Critiques of the Model Some Extensions of the Black-Scholes Model Discrete Time Hedging Optimal Quadratic Mean Hedging Measures of Risk and Performance Measures of Risk Estimation of Measures of Risk by Monte Carlo Methods Measures of Risk and the Delta-Gamma Approximation Performance Measures Modeling Interest Rates Introduction Vasicek Model Cox-Ingersoll-Ross (CIR) Model Other Models for the Spot Rates Levy Models Complete Models Stochastic Processes with Jumps Levy Processes Examples of Levy Processes Change of Distribution Model Implementation and Estimation of Parameters Stochastic Volatility Models GARCH Models Estimation of Parameters Duan Methodology of Option Pricing Stochastic Volatility Model of Hull-White Stochastic Volatility Model of Heston Copulas and Applications Weak Replication of Hedge Funds Default Risk Modeling Dependence Bivariate Copulas Measures of Dependence Multivariate Copulas Families of Copulas Estimation of the Parameters of Copula Models Tests of Independence Tests of Goodness-of-Fit Example of Implementation of a Copula Model Filtering Description of the Filtering Problem Kalman Filter IMM Filter General Filtering Problem Computation of the Conditional Densities Particle Filters Applications of Filtering Estimation of ARMA Models Regime-Switching Markov Models Replication of Hedge Funds Appendix A: Probability Distributions Appendix B: Estimation of Parameters Index Suggested Reading, Exercises, Assignment Questions, Appendices, and References appear at the end of each chapter.