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Dynamic Copula Methods in Finance (The Wiley Finance Series) by Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi, Silvia Romagnoli is a nonfiction available to read on EtoBox.

What is Dynamic Copula Methods in Finance (The Wiley Finance Series) about?

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. From the Inside Flap Dynamic Copula Methods in Finance “Copulas address a central problem in financial modeling, namely how to describe the statistics of events which are related to two or more other events of interest. This important book provides a comprehensive and timel

Who reads Dynamic Copula Methods in Finance (The Wiley Finance Series)?

Author

Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi, Silvia Romagnoli

Publisher

John Wiley and Sons Ltd

Published

2011

Language

EN

ISBN

9781283295307

Category

nonfiction

Subjects

Finance, Mathematics, Economics