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Cherubini, Umberto

Copula Methods in Finance

Cherubini, Umberto - Copula Methods in Finance, ebook

126,50€

Ebook, PDF with Adobe DRM
ISBN: 9780470863459
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Printing93 pages with an additional page accrued every 8 hours, capped at 93 pages
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Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications.  It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis.  Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues.  Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

Keywords: BUSINESS & ECONOMICS / Finance BUS027000

Author(s)
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2004
Language
en
Edition
1
Page amount
310 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780470863459
Printed ISBN
9780470863442

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