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Cherubini, Umberto

Dynamic Copula Methods in Finance

Cherubini, Umberto - Dynamic Copula Methods in Finance, ebook

104,20€

Ebook, ePUB with Adobe DRM
ISBN: 9781119954521
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The latest tools and techniques for pricing and risk management

This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.

Keywords: Financial Engineering

Author(s)
 
 
 
Publisher
John Wiley and Sons, Inc.
Publication year
2011
Language
en
Edition
2
Series
The Wiley Finance Series
Page amount
288 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781119954521
Printed ISBN
9780470683071

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