ISBN: | 9781118708606 |
语种代码: | eng |
个人名称: | Sekerke, Matt |
题名: | Bayesian risk management : a guide to model risk and sequential learning in financial markets / Matt Sekerke. |
出版发行项: | Hoboken, New Jersey : John Wiley & Sons, Inc., [2015] |
载体形态: | xvi, 219 pages : illustrations ; 24 cm. |
书目附注: | Includes bibliographical references (pages 207-211) and index. |
格式化内容附注: | Models for discontinuous markets -- Capturing uncertainty in statstical models -- Prior knowledge, parameter uncertainty, and estimation -- Model uncertainty -- Sequential learning with adaptive statistical models -- Introduction to sequential modeling -- Bayesian inference in state-space time series models -- Sequential Monte Carlo inference -- Sequential models of financial risk -- Volatility modeling -- Asset-pricing models and hedging -- Bayesian risk management -- From risk measurement to risk management. |