Description

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

Product form

£95.00

Includes FREE delivery
Usually despatched within 5 days
Hardback by Umberto Cherubini , Elisa Luciano

1 in stock

Short Description:

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It... Read more

    Publisher: John Wiley & Sons Inc
    Publication Date: 25/05/2004
    ISBN13: 9780470863442, 978-0470863442
    ISBN10: 0470863447

    Number of Pages: 312

    Non Fiction , Business, Finance & Law

    Description

    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.

    Customer Reviews

    Be the first to write a review
    0%
    (0)
    0%
    (0)
    0%
    (0)
    0%
    (0)
    0%
    (0)

    Recently viewed products

    © 2024 Book Curl,

      • American Express
      • Apple Pay
      • Diners Club
      • Discover
      • Google Pay
      • Maestro
      • Mastercard
      • PayPal
      • Shop Pay
      • Union Pay
      • Visa

      Login

      Forgot your password?

      Don't have an account yet?
      Create account