Financial engineering with copulas explained
Auteur :
Mai, J. / Scherer, M.
Éditeur :
Palgrave Macmillan
ISBN :
9781137346308
Date de publication :
2 oct. 2014
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.