Copula Methods in Finance

Language: English

Published by John Wiley and Sons Inc, US, 2004

0470863447 / 9780470863442

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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.

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

Rarewaves.com USA

London, London, United Kingdom

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AbeBooks seller since June 11, 2025

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