Copula Methods in Finance
Umberto Cherubini
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Description for Copula Methods in Finance
Hardcover. Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions. Series: Wiley Finance Series. Num Pages: 310 pages, Illustrations. BIC Classification: KFF. Category: (P) Professional & Vocational. Dimension: 253 x 176 x 22. Weight in Grams: 694.
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.
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.
Product Details
Format
Hardback
Publication date
2004
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
310
Condition
New
Series
Wiley Finance Series
Number of Pages
312
Place of Publication
New York, United States
ISBN
9780470863442
SKU
V9780470863442
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Umberto Cherubini
UMBERTO CHERUBINI is Associate Professor of Mathematical Finance at the University of Bologna, and partner in Polyhedron Computational Finance, Florence, Italy. He is fellow of FERC, Cass Business School, London and Ente Einaudi, Bank of Italy, Rome. He has also taught graduate finance courses at Catholic University in Milan, Hitotsubashi University in Tokyo, and is supervisor of the Market Risk ... Read more
Reviews for Copula Methods in Finance
"...This book is of great use for researchers as well as practitioners..." (Statistical Papers, July 2005)