Copula methods in finance / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato.
Series: Wiley finance seriesPublication details: Hoboken, NJ : John Wiley & Sons, ©2004.Description: 1 online resource (xvi, 293 pages) : illustrationsContent type:- text
- computer
- online resource
- 0470863455
- 9780470863459
- 9781118673331
- 1118673336
- 1280271698
- 9781280271694
- 332/.01/519535 22
- HG106 .C49 2004eb
| Item type | Current library | Home library | Call number | Materials specified | Copy number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|---|---|
| AM | PERPUSTAKAAN TUN SERI LANANG | PERPUSTAKAAN TUN SERI LANANG KOLEKSI AM-P. TUN SERI LANANG (ARAS 5) | ebook (Browse shelf(Opens below)) | 1 | Available |
Includes bibliographical references (pages 281-287 and index.
Copula Methods in Finance; Contents; Preface; List of Common Symbols and Notations; 1 Derivatives Pricing, Hedging and Risk Management: The State of the Art; 2 Bivariate Copula Functions; 3 Market Comovements and Copula Families; 4 Multivariate Copulas; 5 Estimation and Calibration from Market Data; 6 Simulation of Market Scenarios; 7 Credit Risk Applications; 8 Option Pricing with Copulas; Bibliography; Index.
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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