Copula Methods in Finance (The Wiley Finance Series)
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Publication
2004-07-23 - Wiley
Language
English
Word Count
77,500 words, Guess
Page Count
310 pages
Identifiers
- Open LibraryOL7598247M
- ISBN-139780470863442
- ISBN-100470863447
- OCLC Control Number54400359
- OCLC Control Numbercopulamethodsfin00cher
and 3 more
- Library of Congress Control Number2004002624
- LibraryThing2702022
- Goodreads3415100
Classifications
- LCCHG106 .C49 2004
Description
"This book addresses copula functions from the viewpoint of mathematical finance applications. The method is to explain copulas by means of applications to major topics in derivative pricing and credit risk analysis, with the target to make readers able to devise their own application, following the strategies illustrated throughout the book. Examples include pricing of the main exotic derivatives typically included in commonly-traded structured finance products (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."--BOOK JACKET.
Subjects
Other Editions
- Copula Methods in Finance (The Wiley Finance Series)
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