Dynamic Copula Methods in Finance - The Wiley Finance Series (Hardback)
  • Dynamic Copula Methods in Finance - The Wiley Finance Series (Hardback)
zoom

Dynamic Copula Methods in Finance - The Wiley Finance Series (Hardback)

(author), (author), (author), (author)
£72.00
Hardback 288 Pages / Published: 28/10/2011
  • We can order this

Usually dispatched within 1 week

  • This item has been added to your basket
The latest tools and techniques for pricing and risk management This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both estimate and simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.

Publisher: John Wiley and Sons Ltd
ISBN: 9780470683071
Number of pages: 288
Weight: 652 g
Dimensions: 249 x 171 x 22 mm

You may also be interested in...

Buffett: The Biography
Added to basket
Investing in Shares For Dummies
Added to basket
Get Started in Shares
Added to basket
Archives of the Valuation Office
Added to basket
Introductory Econometrics for Finance
Added to basket
Rich Dad's Guide to Investing
Added to basket
£14.99   £10.49
Paperback
Fooled by Randomness
Added to basket
Shares Made Simple
Added to basket
£13.99
Paperback
Corporate Financial Management
Added to basket
Business Adventures
Added to basket
£10.99
Paperback
The Financial Times Guide to Investing
Added to basket
Moneyball
Added to basket
£11.99
Paperback
The Wolf of Wall Street
Added to basket
The Snowball
Added to basket
£16.99
Paperback
The Big Short
Added to basket
£9.99   £7.99
Paperback

Reviews

Please sign in to write a review

Your review has been submitted successfully.