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"This book addresses copula functions from the viewpoint of mathematical finance applications. The method is to explain copulas by means of applications to major topics in derivative pricing and credit risk analysis, with the target to make readers able to devise their own application, following the strategies illustrated throughout the book. Examples include pricing of the main exotic derivatives typically included in commonly-traded structured finance products (barrier, basket, rainbow options), as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions."--BOOK JACKET.
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Copula Methods in Finance
2007, Wiley & Sons, Incorporated, John
in English
0470300361 9780470300367
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Copula Methods in Finance
2004, Wiley & Sons, Incorporated, John
in English
1280271698 9781280271694
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Copula Methods in Finance (The Wiley Finance Series)
July 23, 2004, Wiley, John Wiley & Sons
in English
0470863447 9780470863442
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- Created April 29, 2008
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