Dynamic Copula Methods in Finance (The Wiley Finance Series)
Publisher: W.y | ISBN: 0470683074 | 2011 | PDF | 284 pages | three.7 MB
This e book introduces visitors to the use of copula features to represent the dynamics of financial belongings and danger elements, integrated temporal and cross-section applications. The very first part of the book will briefly introduce the standard the theory of copula functions, just before analyzing the hyperlink amongst copulas and Markov processes. It will then introduce new techniques to design and style Markov processes that are suited to signify the dynamics of industry chance aspects and their co-movements, supplying tactics to the two estimate and simulate these kinds of dynamics. The 2nd component of the e-book will display audience how to utilize these strategies to the evaluation of pricing of multivariate by-product contracts in the equity and credit markets. It will then transfer on to examine the applications of joint temporal and cross-part aggregation to the difficulty of risk integration.
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