Copula Methods in Finance
Author:   Professor Umberto Cherubini (University of Bologna) ,  Elisa Luciano (University of Turin, Italy) ,  Walter Vecchiato (Venato Banca, Italy)
Publisher:   Wiley
ISBN:  

9781280271694


Pages:   293
Publication Date:   01 January 2004
Format:   Electronic book text
Availability:   Available To Order   Availability explained
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Copula Methods in Finance


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Overview

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.

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Author:   Professor Umberto Cherubini (University of Bologna) ,  Elisa Luciano (University of Turin, Italy) ,  Walter Vecchiato (Venato Banca, Italy)
Publisher:   Wiley
Imprint:   Wiley
ISBN:  

9781280271694


ISBN 10:   1280271698
Pages:   293
Publication Date:   01 January 2004
Audience:   General/trade ,  General
Format:   Electronic book text
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

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