Copula Methods in Finance

Copula Methods in Finance  (English, Hardcover, Cherubini Umberto)

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    Highlights
    • Language: English
    • Binding: Hardcover
    • Publisher: John Wiley & Sons Inc
    • Genre: Business & Economics
    • ISBN: 9780470863442, 0470863447
    • Pages: 312
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  • Description
    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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    Specifications
    Book Details
    Imprint
    • John Wiley & Sons Inc
    Dimensions
    Width
    • 23 mm
    Height
    • 246 mm
    Length
    • 176 mm
    Weight
    • 680 gr
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