eBook - ePub

Dynamic Copula Methods in Finance

Name: Dynamic Copula Methods in Finance
Author: Umberto Cherubini,Sabrina Mulinacci,Fabio Gobbi,Silvia Romagnoli

English
ePUB (mobile friendly)
Available on iOS & Android

eBook - ePub

Dynamic Copula Methods in Finance

About this book

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.

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Yes, you can access Dynamic Copula Methods in Finance by Umberto Cherubini,Sabrina Mulinacci,Fabio Gobbi,Silvia Romagnoli in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.