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020 _a9781118467404
_q(electronic bk.)
020 _a111846740X
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020 _a9780470683071
_q(Cloth)
020 _a0470683074
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020 _a1119954517
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020 _a9781119954514
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020 _a128329530X
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035 _a(OCoLC)798928659
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037 _a10.1002/9781118467404
_bWiley InterScience
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082 0 4 _a332.01/519233
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049 _aMAIN
245 0 0 _aDynamic copula methods in finance /
_cUmberto Cherubini [and others].
260 _aHoboken, NJ :
_bWiley,
_c2012.
300 _a1 online resource (x, 274 pages) :
_billustrations.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aWiley finance series
505 0 _aFront 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.
520 _a"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."--
_cProvided by publisher.
520 _a"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"--
_cProvided by publisher.
504 _aIncludes bibliographical references and index.
588 0 _aPrint version record.
650 0 _aFinance
_xMathematical models.
650 7 _aBUSINESS & ECONOMICS
_xFinance.
_2bisacsh
650 7 _aFinance
_xMathematical models.
_2fast
_0(OCoLC)fst00924398
655 4 _aElectronic books.
700 1 _aCherubini, Umberto.
710 2 _aWiley InterScience (Online service)
776 0 8 _iPrint version:
_tDynamic copula methods in finance.
_dHoboken, NJ : Wiley, 2012
_z9780470683071
_w(DLC) 2011034154
_w(OCoLC)731913189
830 0 _aWiley finance series.
856 4 0 _uhttp://onlinelibrary.wiley.com/book/10.1002/9781118467404
_zWiley Online Library [Free Download only for SUST IP]
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