Dynamic copula methods in finance /

• Συγγραφή απο Οργανισμό/Αρχή: Wiley InterScience (Online service)
• Άλλοι συγγραφείς: Cherubini, Umberto
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, NJ : Wiley, 2012.
• Σειρά: Wiley finance series.
• Θέματα: Finance > Mathematical models.; BUSINESS & ECONOMICS > Finance.; Electronic books.

"The latest tools and techniques for pricing and risk management. This 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...

Πίνακας περιεχομένων:

• Front Matter
• Correlation Risk in Finance
• Copula Functions: The State of the Art
• Copula Functions and Asset Price Dynamics
• Copula-based Econometrics of Dynamic Processes
• Multivariate Equity Products
• Multivariate Credit Products
• Risk Capital Management
• Frontier Issues
• Appendix A: Elements of Probability
• Appendix B: Elements of Stochastic Processes Theory
• References
• Extra Reading
• Index.