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(Ebook) Copula Methods in Finance by Umberto Cherubini, Elisa Luciano, Walter Vecchiato ISBN 9780470863442, 9780470863459, 0470863447, 0470863455

  • SKU: EBN-1629492
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Authors:Umberto Cherubini, Elisa Luciano, Walter Vecchiato
Pages:310 pages.
Year:2004
Editon:1
Publisher:Wiley
Language:english
File Size:4.61 MB
Format:pdf
ISBNS:9780470863442, 9780470863459, 0470863447, 0470863455
Categories: Ebooks

Product desciption

(Ebook) Copula Methods in Finance by Umberto Cherubini, Elisa Luciano, Walter Vecchiato ISBN 9780470863442, 9780470863459, 0470863447, 0470863455

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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