Dynamic Copula Methods in Finance (Innbundet)


, , og

Legg i ønskeliste

Forfatter: , , og
Innbinding: Innbundet
Utgivelsesår: 2011
Antall sider: 288
Forlag: John Wiley and Sons Ltd
Språk: Engelsk
ISBN/EAN: 9780470683071
Kategori: Matematikk
Omtale: Dynamic Copula Methods in Finance
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.

Til toppen

Flere bøker av Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi og Silvia Romagnoli: