Dynamic Copula Methods in Finance

 
 
Wiley (Verlag)
  • erschienen am 20. Oktober 2011
  • |
  • 288 Seiten
 
E-Book | ePUB mit Adobe DRM | Systemvoraussetzungen
978-1-119-95452-1 (ISBN)
 
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.
1. Auflage
  • Englisch
John Wiley & Sons
  • 8,17 MB
978-1-119-95452-1 (9781119954521)
1119954525 (1119954525)
weitere Ausgaben werden ermittelt
UMBERTO CHERUBINI is Associate Professor of FinancialMathematics at the University of Bologna, where he heads theGraduate Degree in Quantitative Finance. He is a fellow of theFinancial Econometrics Research Center (FERC), a member of theScientific Committees of Abiformazione - the professionaleducation arm of the Italian banking association, and AIFIRM- the Italian Association of Financial Risk Managers. He hasbeen consulting and teaching in the field of finance and riskmanagement for more than ten years. Before joining academia heworked as an economist at the Economic Research Department of BCIMilan. He has published papers in finance and economics ininternational journals, and is co-author of six books on topics ofrisk management and financial mathematics, including FourierTransform Methods in Finance, John Wiley & Sons, Ltd, 2009;and Copula Methods in Finance, John Wiley & Sons, Ltd,2004.
FABIO GOBBI is a post-doctoral researcher at theUniversity of Bologna. He has a PhD in Statistics from theUniversity of Florence and his areas of research focus onprobability and financial econometrics. This is his first book.
SABRINA MULINACCI is Associate Professor of MathematicalMethods for Economics and Finance at the University of Bologna,Italy. Prior to this Sabrina was Associate Professor ofMathematical Methods for Economics and Actuarial Sciences at theCatholic University of Milan. She has a PhD in Mathematics from theUniversity of Pisa and has published a number of research papers ininternational journals on probability and mathematical finance. Sheis co-author of Fourier Transform Methods in Finance, JohnWiley & Sons, Ltd, 2009.
SILVIA ROMAGNOLI is Assistant Professor of MathematicalModels for Economics and Actuarial and Financial Sciences at theUniversity of Bologna. Her scientific research is mainly addressedto the applications of stochastic models to finance and insurance.She has published several research papers in international journalson mathematical finance.

Dateiformat: EPUB
Kopierschutz: Adobe-DRM (Digital Rights Management)

Systemvoraussetzungen:

Computer (Windows; MacOS X; Linux): Installieren Sie bereits vor dem Download die kostenlose Software Adobe Digital Editions (siehe E-Book Hilfe).

Tablet/Smartphone (Android; iOS): Installieren Sie bereits vor dem Download die kostenlose App Adobe Digital Editions (siehe E-Book Hilfe).

E-Book-Reader: Bookeen, Kobo, Pocketbook, Sony, Tolino u.v.a.m. (nicht Kindle)

Das Dateiformat EPUB ist sehr gut für Romane und Sachbücher geeignet - also für "fließenden" Text ohne komplexes Layout. Bei E-Readern oder Smartphones passt sich der Zeilen- und Seitenumbruch automatisch den kleinen Displays an. Mit Adobe-DRM wird hier ein "harter" Kopierschutz verwendet. Wenn die notwendigen Voraussetzungen nicht vorliegen, können Sie das E-Book leider nicht öffnen. Daher müssen Sie bereits vor dem Download Ihre Lese-Hardware vorbereiten.

Weitere Informationen finden Sie in unserer E-Book Hilfe.


Download (sofort verfügbar)

90,00 €
inkl. 19% MwSt.
Download / Einzel-Lizenz
ePUB mit Adobe DRM
siehe Systemvoraussetzungen
E-Book bestellen

Unsere Web-Seiten verwenden Cookies. Mit der Nutzung dieser Web-Seiten erklären Sie sich damit einverstanden. Mehr Informationen finden Sie in unserem Datenschutzhinweis. Ok