Copula Methods in Finance

0 avg rating
( 0 ratings by Goodreads )
 
9780470863442: Copula Methods in Finance

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications.  It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis.  Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues.  Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

"synopsis" may belong to another edition of this title.

From the Back Cover:

The evaluation and risk measurement of portfolios of complex non-linear positions and non-normal risk factors has become a major nightmare for people working in the structured finance business. Dealing with "fat tails" and "smile effects", as well as the typical asymmetric shape of default risk has rapidly made obsolete the traditional linear correlation tools. In this new environment, the copula functions methodology has become the most significant new technique to handle the co-movement between markets and risk factors in a flexible way. This is the first book addressing copula functions from the viewpoint of mathematical finance applications. The method is to explain copulas by means of applications to major topics in derivative pricing and credit risk analysis, with the target to make the reader able to device her own application, following the strategies illustrated throughout the book. Examples include pricing of the main exotic derivatives typically included in commonly traded structured finance products (barrier, basket, rainbow options), as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

Copula Methods in Finance provides:

  • Rigorous treatment of the mathematics of copula functions, illustrated with financial applications
  • Complete analysis of estimation and simulation issues applied to market data
  • Credit-linked structured products applications: CDO and basket credit derivatives
  • Equity-linked structured product applications: barrier, rainbow and basket derivatives
  • Counterparty risk in derivative transactions: vulnerable option pricing

About the Author:

UMBERTO CHERUBINI is Associate Professor of Mathematical Finance at the University of Bologna, and partner in Polyhedron Computational Finance, Florence, Italy. He is fellow of FERC, Cass Business School, London and Ente Einaudi, Bank of Italy, Rome. He has also taught graduate finance courses at Catholic University in Milan, Hitotsubashi University in Tokyo, and is supervisor of the Market Risk Area at the risk management education program of the Italian Banking Association (ABI). He is a member of the independent screening committee of TLX, the new Italian structured products market. Before joining the academia, he was with the Economic Research Department of Banca Commerciale Italiana, where he was Head of the Risk Management Unit.

ELISA LUCIANO, Ph.D., is Full Professor of Mathematical Finance at the University of Turin (Italy), Fellow of ICER, Turin, and Associate Fellow of FERC, Cass Business School, London. She also teaches at the École Nationale Supérieure de Cachan, Paris, and at the École Supérieure en Sciences Informatiques, Université de Nice-Sophia Antipolis, France. Her main research interest is Quantitative Finance, with special emphasis on portfolio selection and risk measurement. She has published extensively in Academic journals, including the Journal of Finance and Applied Mathematical Finance.

WALTER VECCHIATO is Head of Risk Management and Research at Veneto Banca in Montebelluna Treviso, Italy. Previously he was Head of Credit Derivatives Analysis at Banca Intesa in Milan, Italy. He was also Professor of Applied Statistics in University of Pavia, Italy and he was Visiting Researcher in Financial Econometrics at University of California at San Diego, La Jolla. He enhanced his research with the presence of Nobel Economic Sciences 2003 award winner Professor Robert F. Engle. He has written and published on quantitative finance and risk management techniques. He is a referee for many academic and practitioner journals and a frequent speaker for many symposiums on Finance worldwide.

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Cherubini, Umberto, Luciano, Elisa, Vecc
Published by Wiley (2017)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover Quantity Available: 2
Print on Demand
Seller
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2017. Hardcover. Book Condition: New. This item is printed on demand. Bookseller Inventory # P110470863447

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 93.40
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

2.

Umberto Cherubini, Elisa Luciano, Walter Vecchiato
Published by John Wiley and Sons Ltd, United Kingdom (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover Quantity Available: 1
Seller
The Book Depository US
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United Kingdom, 2004. Hardback. Book Condition: New. Language: English . Brand New Book. Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions. Bookseller Inventory # AAH9780470863442

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 102.31
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Umberto Cherubini, Elisa Luciano, Walter Vecchiato
Published by John Wiley and Sons Ltd, United Kingdom (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover Quantity Available: 1
Seller
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United Kingdom, 2004. Hardback. Book Condition: New. Language: English . Brand New Book. Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions. Bookseller Inventory # AAH9780470863442

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 106.35
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

4.

Umberto Cherubini, Elisa Luciano, Walter Vecchiato
Published by Wiley 2004-05-25, Chichester, West Sussex (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover Quantity Available: > 20
Seller
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Wiley 2004-05-25, Chichester, West Sussex, 2004. hardback. Book Condition: New. Bookseller Inventory # 9780470863442

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 107.39
Convert Currency

Add to Basket

Shipping: US$ 3.86
From United Kingdom to U.S.A.
Destination, Rates & Speeds

5.

Umberto Cherubini, Elisa Luciano, Walter Vecchiato
Published by Wiley (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover Quantity Available: 1
Seller
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Wiley, 2004. Hardcover. Book Condition: New. 1. Bookseller Inventory # DADAX0470863447

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 108.99
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

6.

Umberto Cherubini
Published by John Wiley and#38; Sons (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Quantity Available: 5
Seller
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description John Wiley and#38; Sons, 2004. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # FW-9780470863442

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 102.64
Convert Currency

Add to Basket

Shipping: US$ 11.60
From United Kingdom to U.S.A.
Destination, Rates & Speeds

7.

Umberto Cherubini, Elisa Luciano, Walter Vecchiato
Published by John Wiley and Sons Ltd
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover Quantity Available: 5
Seller
THE SAINT BOOKSTORE
(Southport, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd. Hardback. Book Condition: new. BRAND NEW, Copula Methods in Finance, Umberto Cherubini, Elisa Luciano, Walter Vecchiato, "Copula Methods in Finance" is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions. Bookseller Inventory # B9780470863442

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 109.57
Convert Currency

Add to Basket

Shipping: US$ 8.95
From United Kingdom to U.S.A.
Destination, Rates & Speeds

8.

Cherubini
Published by John Wiley & Sons (2016)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Paperback Quantity Available: 1
Print on Demand
Seller
Ria Christie Collections
(Uxbridge, United Kingdom)
Rating
[?]

Book Description John Wiley & Sons, 2016. Paperback. Book Condition: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Bookseller Inventory # ria9780470863442_lsuk

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 117.74
Convert Currency

Add to Basket

Shipping: US$ 4.98
From United Kingdom to U.S.A.
Destination, Rates & Speeds

9.

Umberto Cherubini; Elisa Luciano; Walter Vecchiato
Published by Wiley (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Hardcover First Edition Quantity Available: 1
Seller
Irish Booksellers
(Rumford, ME, U.S.A.)
Rating
[?]

Book Description Wiley, 2004. Hardcover. Book Condition: New. book. Bookseller Inventory # M0470863447

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 122.90
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

10.

Umberto Cherubini
Published by John Wiley and#38; Sons (2004)
ISBN 10: 0470863447 ISBN 13: 9780470863442
New Quantity Available: > 20
Print on Demand
Seller
Pbshop
(Wood Dale, IL, U.S.A.)
Rating
[?]

Book Description John Wiley and#38; Sons, 2004. HRD. Book Condition: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bookseller Inventory # IP-9780470863442

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 150.58
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book