Financial engineering: a book by Bruno Rémillard on statistical models

August 7, 2013

Statistical_Methods_Financial_EngineeringFull Professor Bruno Rémillard (Management Sciences) has published a new book entitled Statistical Methods for Financial Engineering, with CRC Press.

The book is intended to guide practitioners in applying the most common stochastic models in financial engineering, showing them how to estimate parameters efficiently and how to test the validity of the various models. A complementary website lets them download the software used.

“There are lots of publications on financial engineering, but the statistical aspects present all kinds of challenges. They are often neglected or limited to a few well-known cases,” says Professor Rémillard. “In addition to covering model validation, another aspect that other textbooks generally ignore, I think this book fills an important gap in the literature on financial engineering, since I have faced many of these issues myself in my work as a consultant in the financial sector.”

Professor Rémillard holds a PhD in Mathematics from Carleton University, in Ottawa, and a Master’s in Mathematics from Université Laval. Before joining HEC Montréal in 2001, he was a professor at the Université du Québec à Trois-Rivières for over a decade. He is a member of the Group for Research in Decision Analysis (GERAD) and holds the Professorship in Financial Engineering at HEC Montréal. In 2003 he received the award for the best article of the year from the Canadian Journal of Statistics and, in 2007, tied for the Pierre Laurin award from HEC Montréal with his colleague Bernard Sinclair-Desgagné. His fields of expertise are stochastic volatility, financial engineering, empirical processes, time series and nonlinear filtering. He has authored and co-authored many publications.

Statistical Methods for Financial Engineering, by Bruno Rémillard, CRC Press, May 2013, 462 pages. Available at the HEC Montréal COOP.

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