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Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9780470863442
  • Indbinding:
  • Hardback
  • Sideantal:
  • 312
  • Udgivet:
  • 25. maj 2004
  • Størrelse:
  • 176x246x23 mm.
  • Vægt:
  • 680 g.
  • 8-11 hverdage.
  • 20. november 2024

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Beskrivelse af Copula Methods in Finance

Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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