Copula Methods in Finance

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Business & Economics
Copula Methods in Finance

Copula Methods in Finance

Name: Copula Methods in Finance
ISBN: 9780470863459

Umberto Cherubini, Elisa Luciano, Walter Vecchiato

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Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. 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.

Categorie:

Business & Economics

Anno:

2004

Edizione:

Casa editrice:

Wiley

Lingua:

english

Pagine:

310

ISBN 10: