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Dynamic copula methods in finance /

Dynamic copula methods in finance / Umberto Cherubini [and others]. - Hoboken, NJ : Wiley, 2012. - 1 online resource (x, 274 pages) : illustrations. - Wiley finance series . - Wiley finance series. .

Includes bibliographical references and index.

Front Matter -- Correlation Risk in Finance -- Copula Functions: The State of the Art -- Copula Functions and Asset Price Dynamics -- Copula-based Econometrics of Dynamic Processes -- Multivariate Equity Products -- Multivariate Credit Products -- Risk Capital Management -- Frontier Issues -- Appendix A: Elements of Probability -- Appendix B: Elements of Stochastic Processes Theory -- References -- Extra Reading -- Index.

"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"--

9781118467404 111846740X 9780470683071 0470683074 1119954517 9781119954514 128329530X 9781283295307 9781119954521 1119954525

9786613295309

EB00064330 Recorded Books

10.1002/9781118467404 Wiley InterScience http://www3.interscience.wiley.com


Finance--Mathematical models.
BUSINESS & ECONOMICS--Finance.
Finance--Mathematical models.


Electronic books.

HG106 / .D96 2012

332.01/519233