Dynamic copula methods in finance:
"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...
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Chichester
Wiley
2012
|
| Schriftenreihe: | The Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | FRO01 FUBA1 UBG01 UBR01 Volltext Buchcover |
| Zusammenfassung: | "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."-- |
| Beschreibung: | 1 Online-Ressource (X, 274 S.) graph. Darst. |
| ISBN: | 9781118467404 9781119954514 9781283295307 9781119954521 |
Internformat
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Datensatz im Suchindex
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/519233 |
| dewey-search | 332.01/519233 |
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| id | DE-604.BV043394765 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:24:48Z |
| institution | BVB |
| isbn | 9781118467404 9781119954514 9781283295307 9781119954521 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028813349 |
| oclc_num | 798928659 |
| open_access_boolean | |
| owner | DE-861 DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-861 DE-355 DE-BY-UBR DE-188 |
| physical | 1 Online-Ressource (X, 274 S.) graph. Darst. |
| psigel | ZDB-35-WIC UBG_PDA_WIC ZDB-35-WIC FRO_PDA_WIC ZDB-35-WIC ZDB-35-WIC 2020 ZDB-35-WIC UBG_PDA_WIC ZDB-35-WIC UBR_PDA_WIC_Kauf |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Wiley finance series |
| spelling | Dynamic copula methods in finance Umberto Cherubini ... Chichester Wiley 2012 1 Online-Ressource (X, 274 S.) graph. Darst. txt rdacontent c rdamedia cr rdacarrier The Wiley finance series "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."-- BUSINESS & ECONOMICS / Finance bisacsh Finance / Mathematical models fast Mathematisches Modell Wirtschaft Finance / Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 s Finanzmathematik (DE-588)4017195-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Cherubini, Umberto Sonstige (DE-588)171051416 oth Erscheint auch als Druck-Ausgabe, Hardcover 978-0-470-68307-1 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118467404 Verlag URL des Erstveröffentlichers Volltext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028813349&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Buchcover |
| spellingShingle | Dynamic copula methods in finance BUSINESS & ECONOMICS / Finance bisacsh Finance / Mathematical models fast Mathematisches Modell Wirtschaft Finance / Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4529954-7 |
| title | Dynamic copula methods in finance |
| title_auth | Dynamic copula methods in finance |
| title_exact_search | Dynamic copula methods in finance |
| title_full | Dynamic copula methods in finance Umberto Cherubini ... |
| title_fullStr | Dynamic copula methods in finance Umberto Cherubini ... |
| title_full_unstemmed | Dynamic copula methods in finance Umberto Cherubini ... |
| title_short | Dynamic copula methods in finance |
| title_sort | dynamic copula methods in finance |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Finance / Mathematical models fast Mathematisches Modell Wirtschaft Finance / Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Finance / Mathematical models Mathematisches Modell Wirtschaft Finanzmathematik Kopula Mathematik |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118467404 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028813349&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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