/LC.GIF&client=easterncarolinaedu)
Dynamic copula methods in finance / Umberto Cherubini... [et al.].
| Other author | Cherubini, Umberto. |
| Format | Electronic |
| Publication Info | Hoboken, NJ : Wiley, |
| Description | x, 274 p. : ill. ; 25 cm. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Subjects |
| Series | The wiley finance series |
| Abstract | "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."-- Provided by publisher. |
| Abstract | "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"-- Provided by publisher. |
| Bibliography note | Includes bibliographical references and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2011034154 |
| ISBN | 9780470683071 (hardback) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |