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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 |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
Wiley,
2011.
|
| Edición: | 2nd ed. |
| Colección: | Wiley finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Dynamic copula methods in finance / |c Umberto Cherubini [and others]. |
| 250 | |a 2nd ed. | ||
| 260 | |a Hoboken, NJ : |b Wiley, |c 2011. | ||
| 300 | |a 1 online resource (x, 274 pages). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a The wiley finance series | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Dynamic Copula Methods in Finance; Contents; Preface; 1 Correlation Risk in Finance; 1.1 Correlation Risk in Pricing and Risk Management; 1.2 Implied vs Realized Correlation; 1.3 Bottom-up vs Top-down Models; 1.4 Copula Functions; 1.5 Spatial and Temporal Dependence; 1.6 Long-range Dependence; 1.7 Multivariate GARCH Models; 1.8 Copulas and Convolution; 2 Copula Functions: The State of the Art; 2.1 Copula Functions: The Basic Recipe; 2.2 Market Co-movements; 2.3 Delta Hedging Multivariate Digital Products; 2.4 Linear Correlation; 2.5 Rank Correlation; 2.6 Multivariate Spearman's Rho. | |
| 520 | |a 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. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Mathematics. | |
| 650 | 2 | |a Mathematics | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 650 | 7 | |a Mathematics |2 fast | |
| 650 | 7 | |a Finances. |2 thub | |
| 650 | 7 | |a Models matemàtics. |2 thub | |
| 655 | 7 | |a Llibres electrònics. |2 thub | |
| 655 | 7 | |a dissertations. |2 aat | |
| 655 | 7 | |a Academic theses |2 fast | |
| 655 | 7 | |a Academic theses. |2 lcgft | |
| 655 | 7 | |a Thèses et écrits académiques. |2 rvmgf | |
| 700 | 1 | |a Cherubini, Umberto. | |
| 758 | |i has work: |a Dynamic copula methods for finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCG4Mx6mkDTG6tcVwkCWp4C |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 830 | 0 | |a Wiley finance series. | |
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