Copula Methods in Finance. Umberto Cherubini

Управление, подбор персонала.

Название
Copula Methods in Finance
Автор:
Umberto Cherubini
Серия:
Жанр:
Управление, подбор персонала
Год выпуска:
0
isbn:
9780470863459
Аннотация:
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.