000 02226cam a22003138a 4500
005 20250918151425.0
008 120323s2011 nju b 001 0 eng
020 _a9780470683071 (hbk.)
_cRM356.50
039 9 _a201206131239
_bzaina
_c201204231757
_dsanusi
_y03-23-2012
_zlatihan
040 _dUKM
090 _aHG106
_b.D946
245 0 0 _aDynamic copula methods in finance /
_cUmberto Cherubini... [et al.].
260 _aHoboken, NJ :
_bWiley,
_c2011.
300 _ax, 274 p. :
_bill. ;
_c25 cm.
490 0 _aThe wiley finance series
504 _aIncludes bibliographical references and index.
520 _a'The latest tools and techniques for pricing and risk management. This 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 simulate such dynamics. The second part of the book will show readers how to apply these methods to the evaluation of pricing of multivariate derivative contracts in the equity and credit markets. It will then move on to explore the applications of joint temporal and cross-section aggregation to the problem of risk integration.'--
_cProvided by publisher.
520 _a'This book will introduce readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications'--
_cProvided by publisher.
650 0 _aFinance
_xMathematical models.
700 1 _aCherubini, Umberto
856 4 2 _3Cover image
_uhttp://catalogimages.wiley.com/images/db/jimages/9780470683071.jpg
907 _a.b1528816x
_b2021-05-28
_c2019-11-12
942 _c01
_n0
_kHG106 .D946
914 _avtls003492648
990 _azsz
991 _aFakulti Ekonomi dan Pengurusan
998 _at
_b2012-10-03
_cm
_da
_feng
_gnju
_y0
_z.b1528816x
999 _c512701
_d512701