Dynamic Copula Methods in Finance (The Wiley Finance Series) by Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi, Silvia Romagnoli

Dynamic Copula Methods in Finance (The Wiley Finance Series)



Download Dynamic Copula Methods in Finance (The Wiley Finance Series)




Dynamic Copula Methods in Finance (The Wiley Finance Series) Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi, Silvia Romagnoli ebook
Language: English
Page: 286
Format: pdf
ISBN: 0470683074, 9781119954538
Publisher: Wiley

Dynamic Copula Methods in Finance

—Robert Elliott, Haskayne School of Business, University of Calgary

—Roger B. Nelsen, Professor Emeritus of Mathematics, Lewis & Clark College, Portland, Oregon

—Fabio Mercurio, Head of Quant Business Managers, Bloomberg LP, New York Over the course of the past decade financial markets have witnessed a marked increase in the use of correlation dynamics models – new terms such as correlation trading and correlation products have now become mainstream, and, increasingly, trading and investment activities have involved more and more exposure to credit risks that are non-Gaussian by definition. By addressing the restrictions which must be imposed on copula functions to yield dynamically consistent results this book sets out the latest research into the application of copula functions to the solution of financial problems.

It shows the reader how to build original and consistent copula-based solutions to problems such as:The evaluation of multivariate and path dependent equity linked derivatives consistently with the no-arbitrage requirement imposed by financial theory and the “fair value” principleThe evaluation of multivariate credit derivatives with a focus on the price consistency of contracts of different maturitiesA consistent strategy for aggregation and allocation of risk capital across different risk factors and business unitsA new copula-based approach to the performance analysis of mutual funds and hedge funds

The culmination of five years original research at the University of Bologna on the use of copulas in finance, this book is essential reading for practitioners involved in pricing and risk management. MORE EBOOKS:
No god but God The Origins, Evolution, and Future of Islam download
Download The Dark Earl pdf







Tags: Dynamic Copula Methods in Finance (The Wiley Finance Series) ebook pdf epub djvu mobi rar
Dynamic Copula Methods in Finance (The Wiley Finance Series) pdf epub djvu free download
Dynamic Copula Methods in Finance (The Wiley Finance Series) free ebook pdf epub
Dynamic Copula Methods in Finance (The Wiley Finance Series) read online free book
Dynamic Copula Methods in Finance (The Wiley Finance Series) cheap ebook for kindle and nook
Umberto Cherubini, Sabrina Mulinacci, Fabio Gobbi, Silvia Romagnoli ebooks and audio books
Dynamic Copula Methods in Finance (The Wiley Finance Series) download pdf epub rar rapidshare mediafire fileserve 4shared torrent depositfiles scribd