Books by Masanobu Taniguchi

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.

The primary aim of this book is to provide modern statistical techniques and theory for stochastic processes. A wide variety of stochastic processes, including non-Gaussian linear processes, long-memory processes, nonlinear processes, non-ergodic processes and diffusion processes are described.