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Dynamic Copula Methods in Finance
Umberto Cherubini
€ 94.29
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Description for Dynamic Copula Methods in Finance
Hardcover. 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. Num Pages: 288 pages, Illustrations. BIC Classification: KFF; PBT. Category: (P) Professional & Vocational. Dimension: 250 x 177 x 23. Weight in Grams: 648.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2011
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
288
Condition
New
Number of Pages
288
Place of Publication
New York, United States
ISBN
9780470683071
SKU
V9780470683071
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Umberto Cherubini
About the authors UMBERTO CHERUBINI is Associate Professor of Financial Mathematics at the University of Bologna, where he heads the Graduate Degree in Quantitative Finance. He is a fellow of the Financial Econometrics Research Center (FERC), a member of the Scientific Committees of Abiformazione – the professional education arm of the Italian banking association, and AIFIRM – the ... Read more
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