04511cam a2200757Ka 4500 ocn798928659 OCoLC 20170612141629.0 m o d cr cn||||||||| 120712s2012 njua ob 001 0 eng d DG1 eng pn DG1 OCLCO OCLCQ OCLCF OCLCA CDX YDXCP IDEBK RECBK DEBBG EBLCP OCLCQ S2H OCLCQ 759036818 762325055 778615829 816866866 865004732 9781118467404 (electronic bk.) 111846740X (electronic bk.) 9780470683071 (Cloth) 0470683074 (Cloth) 1119954517 (electronic bk.) 9781119954514 (electronic bk.) 128329530X 9781283295307 9781119954521 (electronic bk.) 1119954525 (electronic bk.) 9786613295309 EB00064330 Recorded Books DEBBG BV041910548 GBVCP 790038064 NZ1 15921967 DEBBG BV043394765 (OCoLC)798928659 (OCoLC)759036818 (OCoLC)762325055 (OCoLC)778615829 (OCoLC)816866866 (OCoLC)865004732 10.1002/9781118467404 Wiley InterScience http://www3.interscience.wiley.com HG106 .D96 2012 KFF bicssc 332.01/519233 23 BUS027000 bisacsh MAIN Dynamic copula methods in finance / Umberto Cherubini [and others]. Hoboken, NJ : Wiley, 2012. 1 online resource (x, 274 pages) : illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Wiley finance series Front Matter -- Correlation Risk in Finance -- Copula Functions: The State of the Art -- Copula Functions and Asset Price Dynamics -- Copula-based Econometrics of Dynamic Processes -- Multivariate Equity Products -- Multivariate Credit Products -- Risk Capital Management -- Frontier Issues -- Appendix A: Elements of Probability -- Appendix B: Elements of Stochastic Processes Theory -- References -- Extra Reading -- Index. "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."-- Provided by publisher. "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"-- Provided by publisher. Includes bibliographical references and index. Print version record. Finance Mathematical models. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models. fast (OCoLC)fst00924398 Electronic books. Cherubini, Umberto. Wiley InterScience (Online service) Print version: Dynamic copula methods in finance. Hoboken, NJ : Wiley, 2012 9780470683071 (DLC) 2011034154 (OCoLC)731913189 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781118467404 Wiley Online Library Coutts Information Services COUT 19726802 70.00 GBP EBL - Ebook Library EBLB EBL4041234 Ingram Digital eBook Collection IDEB 329530 Recorded Books, LLC RECE rbeEB00064330 YBP Library Services YANK 7209596 YBP Library Services YANK 12678369 YBP Library Services YANK 10004646 92 DG1 206027 206027