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COPULA METHODS IN FINANCE

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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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Availability

10007505

332.0151 CHE c

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Umberto Cherubini

Call Number

332.0151 CHE c

Publisher

Chicester : John Wiley & Sons., 2004

Collation

xvi, 293 p. : ill. ; 25 cm.

Language

English

ISBN/ISSN

0-470-86344-7

Classification

332.0151

Content Type

-

Edition

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Subject(s)

Buku Umum
Finance
Finance Mathematical Models

Specific Detail Info

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Other version/related

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