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001 | ocn798928659 | ||
003 | OCoLC | ||
005 | 20170612141629.0 | ||
006 | m o d | ||
007 | cr cn||||||||| | ||
008 | 120712s2012 njua ob 001 0 eng d | ||
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037 |
_a10.1002/9781118467404 _bWiley InterScience _nhttp://www3.interscience.wiley.com |
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_aHG106 _b.D96 2012 |
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049 | _aMAIN | ||
245 | 0 | 0 |
_aDynamic copula methods in finance / _cUmberto Cherubini [and others]. |
260 |
_aHoboken, NJ : _bWiley, _c2012. |
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300 |
_a1 online resource (x, 274 pages) : _billustrations. |
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_atext _btxt _2rdacontent |
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_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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490 | 1 | _aWiley finance series | |
505 | 0 | _aFront 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. | |
520 |
_a"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."-- _cProvided by publisher. |
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520 |
_a"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"-- _cProvided by publisher. |
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504 | _aIncludes bibliographical references and index. | ||
588 | 0 | _aPrint version record. | |
650 | 0 |
_aFinance _xMathematical models. |
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_aBUSINESS & ECONOMICS _xFinance. _2bisacsh |
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650 | 7 |
_aFinance _xMathematical models. _2fast _0(OCoLC)fst00924398 |
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655 | 4 | _aElectronic books. | |
700 | 1 | _aCherubini, Umberto. | |
710 | 2 | _aWiley InterScience (Online service) | |
776 | 0 | 8 |
_iPrint version: _tDynamic copula methods in finance. _dHoboken, NJ : Wiley, 2012 _z9780470683071 _w(DLC) 2011034154 _w(OCoLC)731913189 |
830 | 0 | _aWiley finance series. | |
856 | 4 | 0 |
_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118467404 _zWiley Online Library |
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