عنوان

Dynamic copula methods in finance

شابک

9780470683071 (hardback)

زبان متن نوشتاري يا گفتاري و مانند آن

لاتين

نام نخستين پديدآور

Umberto Cherubini... [et al.]

عنوان اصلي

Dynamic copula methods in finance

محل نشرو پخش و غیره

Hoboken, NJ

نام ناشر، پخش کننده و غيره

Wiley,

تاریخ نشرو بخش و غیره

2012

نام خاص و کميت اثر

x, 274 p.

عنوان فروست

The wiley finance series

متن يادداشت

مرجع به حساب نمي آيد

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

"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."--Provided by publisher. "This book will introduce readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications"--Provided by publisher.

عنصر شناسه ای

Finance, Mathematical models

عنصر شناسه ای

BUSINESS & ECONOMICS / Finance., bisacsh

شماره رده

عنصر شناسه اي

مولف

عنصر شناسه اي

Cherubini, Umberto