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Copula Methods in Finance

Download or Read eBook Copula Methods in Finance PDF written by Umberto Cherubini and published by John Wiley & Sons. This book was released on 2004-10-22 with total page 310 pages. Available in PDF, EPUB and Kindle.
Copula Methods in Finance
Author :
Publisher : John Wiley & Sons
Total Pages : 310
Release :
ISBN-10 : 9780470863459
ISBN-13 : 0470863455
Rating : 4/5 (59 Downloads)

Book Synopsis Copula Methods in Finance by : Umberto Cherubini

Book excerpt: 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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