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Item Details
| Title:
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COPULA METHODS IN FINANCE
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| By: |
Umberto Cherubini, Elisa Luciano, Walter Vecchiato |
| Format: |
Hardback |
| List price:
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£95.00 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
0470863447 |
| ISBN 13: |
9780470863442 |
| Publisher: |
JOHN WILEY AND SONS LTD |
| Pub. date: |
25 May, 2004 |
| Series: |
Wiley Finance Series |
| Pages: |
310 |
| Description: |
Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions. |
| Synopsis: |
"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. |
| Illustrations: |
Illustrations |
| Publication: |
UK |
| Imprint: |
John Wiley & Sons Ltd |
| Returns: |
Returnable |
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