MARC Record from Library of Congress

LEADER: 02074cam a22002894a 4500
001 2011034154
003 DLC
005 20120609082156.0
008 110812s2012 njua b 001 0 eng
010 $a 2011034154
020 $a9780470683071 (hardback)
040 $aDLC$cDLC$dDLC
042 $apcc
050 00 $aHG106$b.D96 2012
082 00 $a332.01/519233$223
084 $aBUS027000$2bisacsh
245 00 $aDynamic copula methods in finance /$cUmberto Cherubini... [et al.].
260 $aHoboken, NJ :$bWiley,$c2012.
300 $ax, 274 p. :$bill. ;$c25 cm.
490 0 $aThe wiley finance series
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.
504 $aIncludes bibliographical references and index.
650 0 $aFinance$xMathematical models.
650 7 $aBUSINESS & ECONOMICS / Finance.$2bisacsh
700 1 $aCherubini, Umberto
856 42 $3Cover image$uhttp://catalogimages.wiley.com/images/db/jimages/9780470683071.jpg