An edition of Dynamic copula methods in finance (2011)

Dynamic Copula Methods in Finance

Dynamic Copula Methods in Finance
Umberto Cherubini, Umberto Che ...
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Last edited by ImportBot
August 21, 2020 | History
An edition of Dynamic copula methods in finance (2011)

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."--

"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"--

Publish Date
Language
English
Pages
288

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Edition Availability
Cover of: Dynamic Copula Methods in Finance
Dynamic Copula Methods in Finance
2012, Wiley & Sons, Limited, John
in English
Cover of: Dynamic Copula Methods in Finance
Dynamic Copula Methods in Finance
2011, Wiley & Sons, Incorporated, John
in English
Cover of: Dynamic copula methods in finance
Dynamic copula methods in finance
2011, Wiley
in English
Cover of: Dynamic Copula Methods in Finance
Dynamic Copula Methods in Finance
2011, Wiley & Sons, Incorporated, John
in English
Cover of: Dynamic Copula Methods in Finance
Dynamic Copula Methods in Finance
2011, Wiley & Sons, Incorporated, John
in English
Cover of: Dynamic Copula Methods in Finance
Dynamic Copula Methods in Finance
2011, Wiley & Sons, Limited, John
in English

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Book Details


Classifications

Library of Congress
HG106.D96 2012

Edition Identifiers

Open Library
OL29089688M
ISBN 13
9781119954514

Work Identifiers

Work ID
OL16117875W

Source records

Better World Books record

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August 21, 2020 Created by ImportBot Imported from Better World Books record