Copula Methods in Finance (Innbundet)

Serie: Wiley Finance Series 


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Forfatter: , og
Innbinding: Innbundet
Utgivelsesår: 2004
Antall sider: 310
Forlag: John Wiley and Sons Ltd
Språk: Engelsk
ISBN/EAN: 9780470863442
Omtale Copula Methods in Finance
"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.

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