Bøker av Masanobu (Waseda University Taniguchi

This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, nonstationary processes, and the book provides a framework for statistical inference using local asymptotic normality.

Because the field of financial engineering integrates multiple disciplines, it is important that stochastic models describe financial assets sufficiently. This book presents an introduction to the optimal inference of financial engineering models and demonstrates how to properly estimate the proposed models.