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Dynamic copula methods in finance /
The latest tools and techniques for pricing and risk managementThis 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 standar...
| Clasificación: | Libro Electrónico |
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| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
Wiley,
2011.
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| Edición: | 2nd ed. |
| Colección: | Wiley finance series.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | The latest tools and techniques for pricing and risk managementThis 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 simulat. |
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| Descripción Física: | 1 online resource (x, 274 pages). |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781119954514 1119954517 9781119954521 1119954525 |