Copula Methods in Finance
Language: English
Published by John Wiley and Sons Inc, US, 2004
- Hardcover
- New

Seller: Rarewaves.com USA, London, London, United KingdomRarewaves.com USA
AbeBooks seller since June 11, 2025
Condition: New
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Add to basketItem description from seller
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.
Seller Inventory # LU-9780470863442
- Title
- Copula Methods in Finance
- Author
- Umberto Cherubini, Elisa Luciano, Walter Vecchiato
- Publisher
- John Wiley and Sons Inc, US
- Publication year
- 2004
- Condition
- New
- Binding
- Hardback
- Language
- English
- ISBN 10
- 0470863447
- ISBN 13
- 9780470863442
- Item weight
- 680 grams
"Synopsis" may belong to another edition of this title.
About the Author
ELISA LUCIANO, Ph.D., is Full Professor of Mathematical Finance at the University of Turin (Italy), Fellow of ICER, Turin, and Associate Fellow of FERC, Cass Business School, London. She also teaches at the École Nationale Supérieure de Cachan, Paris, and at the École Supérieure en Sciences Informatiques, Université de Nice-Sophia Antipolis, France. Her main research interest is Quantitative Finance, with special emphasis on portfolio selection and risk measurement. She has published extensively in Academic journals, including the Journal of Finance and Applied Mathematical Finance.
WALTER VECCHIATO is Head of Risk Management and Research at Veneto Banca in Montebelluna Treviso, Italy. Previously he was Head of Credit Derivatives Analysis at Banca Intesa in Milan, Italy. He was also Professor of Applied Statistics in University of Pavia, Italy and he was Visiting Researcher in Financial Econometrics at University of California at San Diego, La Jolla. He enhanced his research with the presence of Nobel Economic Sciences 2003 award winner Professor Robert F. Engle. He has written and published on quantitative finance and risk management techniques. He is a referee for many academic and practitioner journals and a frequent speaker for many symposiums on Finance worldwide.
"About the title" may belong to another edition of this title.
Rarewaves.com USA
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