The Resource Dynamic copula methods in finance, Umberto Cherubini [and others], (electronic resource)

Dynamic copula methods in finance, Umberto Cherubini [and others], (electronic resource)

Label
Dynamic copula methods in finance
Title
Dynamic copula methods in finance
Statement of responsibility
Umberto Cherubini [and others]
Contributor
Provider
Subject
Language
eng
Summary
The latest tools and techniques for pricing and risk managementThis 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 simulat
Member of
Cataloging source
E7B
Index
index present
LC call number
HG106
LC item number
.D96 2011eb
Literary form
non fiction
Nature of contents
  • standards specifications
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • ebrary
  • Cherubini, Umberto
Series statement
The wiley finance series
http://library.link/vocab/subjectName
  • Finance
  • Mathematics
  • BUSINESS & ECONOMICS
  • Finance
  • Mathematics
Label
Dynamic copula methods in finance, Umberto Cherubini [and others], (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Dynamic Copula Methods in Finance; Contents; Preface; 1 Correlation Risk in Finance; 1.1 Correlation Risk in Pricing and Risk Management; 1.2 Implied vs Realized Correlation; 1.3 Bottom-up vs Top-down Models; 1.4 Copula Functions; 1.5 Spatial and Temporal Dependence; 1.6 Long-range Dependence; 1.7 Multivariate GARCH Models; 1.8 Copulas and Convolution; 2 Copula Functions: The State of the Art; 2.1 Copula Functions: The Basic Recipe; 2.2 Market Co-movements; 2.3 Delta Hedging Multivariate Digital Products; 2.4 Linear Correlation; 2.5 Rank Correlation; 2.6 Multivariate Spearman's Rho
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (x, 274 pages).
Form of item
electronic
Isbn
9781119954521
Media category
computer
Media MARC source
rdamedia
Media type code
c
Specific material designation
remote
Stock number
9DF466C2-F478-413E-AC54-1965C5FA1CA1
System control number
  • (OCoLC)763160933
  • (OCoLC)ocn763160933
Label
Dynamic copula methods in finance, Umberto Cherubini [and others], (electronic resource)
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Dynamic Copula Methods in Finance; Contents; Preface; 1 Correlation Risk in Finance; 1.1 Correlation Risk in Pricing and Risk Management; 1.2 Implied vs Realized Correlation; 1.3 Bottom-up vs Top-down Models; 1.4 Copula Functions; 1.5 Spatial and Temporal Dependence; 1.6 Long-range Dependence; 1.7 Multivariate GARCH Models; 1.8 Copulas and Convolution; 2 Copula Functions: The State of the Art; 2.1 Copula Functions: The Basic Recipe; 2.2 Market Co-movements; 2.3 Delta Hedging Multivariate Digital Products; 2.4 Linear Correlation; 2.5 Rank Correlation; 2.6 Multivariate Spearman's Rho
Dimensions
unknown
Edition
2nd ed.
Extent
1 online resource (x, 274 pages).
Form of item
electronic
Isbn
9781119954521
Media category
computer
Media MARC source
rdamedia
Media type code
c
Specific material designation
remote
Stock number
9DF466C2-F478-413E-AC54-1965C5FA1CA1
System control number
  • (OCoLC)763160933
  • (OCoLC)ocn763160933

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