Dynamic Copula Methods in Finance eBook
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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.

About the book
Author
Umberto  Cherubini , Fabio  Gobbi , Sabrina  Mulinacci , Silvia  Romagnoli
Imprint
Wiley
Collection
The Wiley Finance Series
Publication date
2011-10-20
Pages
288 pages
Print ISBN
9780470683071
Language
English
Ebook informations
EAN PDF
9781119954514
Price
£75.96
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Copy count 0
Print count 288
File size 12575 Ko
Ce livre est accessible aux handicaps   Informations accessibility
EAN EPUB
9781119954521
Price
£75.96
Read more
Copy count 0
Print count 288
File size 8172 Ko
Ce livre est accessible aux handicaps   Informations accessibility
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