• Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Copula Methods in Finance

Copula Methods in Finance

Hardcover

Series: Wiley Finance, Book 269

Business GeneralInvesting & Finance

ISBN10: 0470863447
ISBN13: 9780470863442
Publisher: John Wiley & Sons
Published: Jul 1 2004
Pages: 312
Weight: 1.52
Height: 0.89 Width: 6.80 Depth: 9.84
Language: English
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.

Also in

Investing & Finance