Copula Methods in Finance (The Wiley Finance, #269)

by Umberto Cherubini, Elisa Luciano, and 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.
  • ISBN13 9780470300367
  • Publish Date 10 December 2007 (first published 1 January 2004)
  • Publish Status Active
  • Publish Country US
  • Imprint John Wiley & Sons Inc