Dynamic Copula Methods in Finance
Silvia Romagnoli author Umberto Cherubini author Sabrina Mulinacci author Fabio Gobbi author
Format:Hardback
Publisher:John Wiley & Sons Inc
Published:28th Oct '11
Currently unavailable, and unfortunately no date known when it will be back
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.
ISBN: 9780470683071
Dimensions: 252mm x 178mm x 23mm
Weight: 635g
288 pages