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Economics/Finances Giovanni Cherubini, Elisa Luciano, Walter Vecchiato - Copula Methods in Finance (Repost)

Posted on 2010-03-16




Name:Economics/Finances Giovanni Cherubini, Elisa Luciano, Walter Vecchiato - Copula Methods in Finance (Repost)
ASIN/ISBN:0470863447
Language:English
File size:2.4 Mb
Publish Date: 2004
ISBN: 0470863447
Pages: 310
File Type: PDF
File Size: 2.40 MB
Other Info: John Wiley & Sons
   Economics/Finances Giovanni Cherubini, Elisa Luciano, Walter Vecchiato - Copula Methods in Finance (Repost)

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Giovanni Cherubini, Elisa Luciano, Walter Vecchiato - Copula Methods in Finance

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.

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