Coverart for item
The Resource Dynamic copula methods in finance, Umberto Cherubini... [et al.], (electronic resource)

Dynamic copula methods in finance, Umberto Cherubini... [et al.], (electronic resource)

Label
Dynamic copula methods in finance
Title
Dynamic copula methods in finance
Statement of responsibility
Umberto Cherubini... [et al.]
Contributor
Subject
Language
eng
Summary
  • "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 standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration."--
  • "This book will introduce readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications"--
  • "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 standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration."--
  • "This book will introduce readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications"--
  • "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 standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration."--
  • "This book will introduce readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications"--
Assigning source
  • Provided by publisher
  • Provided by publisher
  • Provided by publisher
  • Provided by publisher
  • Provided by publisher
  • Provided by publisher
Cataloging source
DLC
Dewey number
332.01/519233
LC call number
HG106
LC item number
.D96 2012
http://library.link/vocab/relatedWorkOrContributorName
Cherubini, Umberto
Series statement
The wiley finance series
http://library.link/vocab/subjectName
  • Finance
  • BUSINESS & ECONOMICS / Finance
Label
Dynamic copula methods in finance, Umberto Cherubini... [et al.], (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Control code
OCM1bookssj0000554638
Dimensions
25 cm.
Dimensions
unknown
Extent
x, 274 p.
Governing access note
License restrictions may limit access
Isbn
9780470683071
Isbn Type
(hardback)
Lccn
2011034154
Other physical details
ill.
Specific material designation
remote
System control number
(WaSeSS)ssj0000554638
Label
Dynamic copula methods in finance, Umberto Cherubini... [et al.], (electronic resource)
Publication
Bibliography note
Includes bibliographical references and index
Control code
OCM1bookssj0000554638
Dimensions
25 cm.
Dimensions
unknown
Extent
x, 274 p.
Governing access note
License restrictions may limit access
Isbn
9780470683071
Isbn Type
(hardback)
Lccn
2011034154
Other physical details
ill.
Specific material designation
remote
System control number
(WaSeSS)ssj0000554638

Library Locations

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      1 University Blvd, St. Louis, MO, 63121, US
      38.710138 -90.311107
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