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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Cherubini, Umberto
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, NJ : Wiley, 2011.
Edición:2nd ed.
Colección:Wiley finance series.
Temas:
Finance > Mathematical models.
Mathematics.
Mathematics
Finances > Modèles mathématiques.
Mathématiques.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Finances.
Models matemàtics.
Llibres electrònics.
dissertations.
Academic theses
Academic theses.
Thèses et écrits académiques.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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