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Copula Methods in Finance

(The Wiley Finance Series)

By Umberto Cherubini, Walter Vecchiato, Elisa Luciano

(1)

| Hardcover | 9780470863442

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Book Description

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 exotiContinue

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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Book Details

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  • English Books
  • Hardcover 310 Pages
  • Edition: 1
  • ISBN-10: 0470863447
  • ISBN-13: 9780470863442
  • Publisher: Wiley
  • Pub date: Jul 23, 2004
  • Dimensions: 1548 mm x 1097 mm x 194 mm Just how big is that?
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ISBN Edition List Sale Seller
9780470863442 Hardcover $160.00 $128.00 bn.com
-- $130.00 ebooks.com
$160.00 $92.75 The Book Depository
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