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About Copula Methods in Finance

Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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  • Language:
  • English
  • ISBN:
  • 9780470863442
  • Binding:
  • Hardback
  • Pages:
  • 312
  • Published:
  • May 24, 2004
  • Dimensions:
  • 176x246x23 mm.
  • Weight:
  • 680 g.
Delivery: 2-4 weeks
Expected delivery: November 29, 2024

Description of Copula Methods in Finance

Addressing the mathematics of copula functions, this book explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. It focuses on the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

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