Financial Engineering with Copulas Explained

Autor: Jan-Frederik Mai, Matthias Scherer

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Legare: Carte broșată

Editura: PALGRAVE MACMILLAN

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Financial Engineering with Copulas Explained is a succinct guide to the application and modelling of...

Informații despre carte

Autor

Jan-Frederik Mai, Matthias Scherer

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2014

Pagini

150

EAN

9781137346308

ISBN

1137346302

Enbook ID

04771264

Editura

PALGRAVE MACMILLAN

Greutate

274

Dimensiuni

234 x 158 x 10

Descriere completă

Financial Engineering with Copulas Explained 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. However, by their very nature, copulas are complex and their applications are often misunderstood. Incorrectly applied, copulas can be hugely detrimental to a model or algorithm. This book brings the complex topic of copulas within easy reach of finance practitioners. Starting with an introduction to copulas and their basics, the authors go on to analyse the different kinds of copulas used in the markets, their differences, why different copulas are used for different applications, and more importantly, where they should not be used, and why. Finally, using practical examples, the book shows readers how to construct stable, high dimensional models for asset pricing and risk modelling. Written to appeal to quantitatively-minded practitioners across the trading floors and in risk management, Financial Engineering with Copulas Explained will be a valuable addition to the Financial Engineering Explained series and warmly welcomed by the industry.

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Financial Engineering with Copulas Explained

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