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.

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Cherubini, Umberto
Other Authors: Luciano, Elisa, Vecchiato, Walter
Format: Electronic eBook
Language:Inglés
Published: Hoboken, NJ : John Wiley & Sons, ©2004.
Subjects:
Finance > Mathematical models.
Finances > Modèles mathématiques.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Online Access:Texto completo
Table of Contents:
  • 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.

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