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Copula methods in finance /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
John Wiley & Sons,
©2004.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Copula Methods in Finance; Contents; Preface; List of Common Symbols and Notations; 1 Derivatives Pricing, Hedging and Risk Management: The State of the Art; 2 Bivariate Copula Functions; 3 Market Comovements and Copula Families; 4 Multivariate Copulas; 5 Estimation and Calibration from Market Data; 6 Simulation of Market Scenarios; 7 Credit Risk Applications; 8 Option Pricing with Copulas; Bibliography; Index.