Dynamic Copula Methods in Finance Hardback
by Umberto (University of Bologna) Cherubini, Sabrina (University of Bologna) Mulinacci, Fabio Gobbi, Silvia Romagnoli
Part of the The Wiley Finance Series series
Hardback
Description
The latest tools and techniques for pricing and risk managementThis 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.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:288 pages
- Publisher:John Wiley & Sons Inc
- Publication Date:28/10/2011
- Category:
- ISBN:9780470683071
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:288 pages
- Publisher:John Wiley & Sons Inc
- Publication Date:28/10/2011
- Category:
- ISBN:9780470683071
