TY  - BOOK
AU  - Cherubini,Umberto
ED  - Wiley InterScience (Online service)
TI  - Dynamic copula methods in finance
T2  - Wiley finance series
SN  - 9781118467404
AV  - HG106 .D96 2012
U1  - 332.01/519233 23
PY  - 2012///
CY  - Hoboken, NJ
PB  - Wiley
KW  - Finance
KW  - Mathematical models
KW  - BUSINESS & ECONOMICS
KW  - bisacsh
KW  - fast
KW  - Electronic books
N1  - 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
N2  - "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"--
UR  - http://onlinelibrary.wiley.com/book/10.1002/9781118467404
ER  -