Copula Methods in Finance (The Wiley Finance Series)

Copula Methods in Finance (The Wiley Finance Series)

Editorial Reviews
Review
"...This book is of great use for researchers as well as practitioners..." (Statistical Papers, July 2005)

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 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.

Copula Methods in Finance (The Wiley Finance Series)

Copula Methods in Finance (The Wiley Finance Series),Giovanni Cherubini,Elisa Luciano,Walter Vecchiato,John Wiley & Sons,0470863447,Business & Economics,Business / Economics / Finance,Business Mathematics,Business/Economics,Finance,Financial Economics (General),Mathematical Economics,Mathematical models,Business & Economics / Finance

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