Financial Engineering with Copulas Explained (Financial Engineering Explained) - Softcover

Mai, J.

Softcover

ISBN 10: 1137346302 ISBN 13: 9781137346308

Publisher: Palgrave Macmillan, 2014

Synopsis

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.

About this title

About the Author

Dr. Matthias Scherer is Professor of Mathematical Finance at the Technische Universität München, where he gives lectures in Mathematical Finance and Statistics. His research interests span Mathematical Finance, but focus on credit-risk analysis and the application of copulas. He holds a PhD from the University of Ulm, and a Masters in Mathematics from Syracuse University. Dr. Scherer has co-authored numerous articles on financial topics including dependence modeling and the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.

Dr. Jan-Frederik Mai is Quantitative Analyst at XAIA Investment GmbH. He holds a PhD in Financial Mathematics from Technische Universität München and is co-author of numerous research articles in the field of dependence modeling and of the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.

Edition details

• Publisher: Palgrave Macmillan
• Publication date: 2014
• Language: English
• ISBN 10: 1137346302
• ISBN 13: 9781137346308
• Binding: Paperback
• Number of pages: 172