Financial engineering with copulas explained

著者

• Mai, Jan-Frederik
• Scherer, Matthias

書誌事項

Financial engineering with copulas explained

Jan-Frederik Mai and Matthias Scherer

（Financial engineering explained）

Palgrave Macmillan, 2014

注記

Includes bibliographical references (p. 138-148) and index

内容説明・目次

内容説明

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.

目次

1. What are Copulas? 2. Which Rules for Handling Copulas Do I Need? 3. How to Measure Dependence? 4. What are Popular Families or Copulas? 5. How to Stimulate Multivariate Distributions? 6. How to Estimate Parameters of a Multivariate Model? 7. How to Deal with Uncertainty Concerning Dependence? 8. How to Construct a Portfolio-Default Model?

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詳細情報

• NII書誌ID(NCID): BB18872767
• ISBN:
  • 9781137346308
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Basingstoke
• ページ数/冊数: xvi, 150 p.
• 大きさ: 24 cm
• 分類:
  • DC23 : 332.01519
  • DC : 332
• 件名:
  • LCSH : Financial engineering -- Mathematical models
• 親書誌ID:
  • BB18416724