Statistical Methods for Financial Engineering
From MaRDI portal
Publication:3101682
DOI10.1201/b14285zbMath1273.91010OpenAlexW324623452MaRDI QIDQ3101682
Publication date: 30 November 2011
Full work available at URL: https://doi.org/10.1201/b14285
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (22)
Expectiles, omega ratios and stochastic ordering ⋮ Scenario aggregation method for portfolio expectile optimization ⋮ Performance measurement with expectiles ⋮ American-style options in jump-diffusion models: estimation and evaluation ⋮ Moment method estimation of first-order continuous-time bilinear processes ⋮ On copula-based conditional quantile estimators ⋮ 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 ⋮ 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 ⋮ Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters ⋮ On elicitable risk measures ⋮ Identifiability and estimation of meta-elliptical copula generators ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Semi-parametric copula-based models under non-stationarity ⋮ Tweedie double GLM loss triangles with dependence within and across business lines ⋮ Tests of serial dependence for multivariate time series with arbitrary distributions ⋮ Forecasting time series with multivariate copulas
Uses Software
This page was built for publication: Statistical Methods for Financial Engineering