Financial Engineering with Copulas Explained

Autor: Jan-Frederik Mai, Matthias Scherer

Język:

Oprawa: Miękka

Wydawca: PALGRAVE MACMILLAN

Dostępność: Dostępna u dostawcy

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

Informacje o książce

Autor

Jan-Frederik Mai, Matthias Scherer

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2014

strony

150

EAN

9781137346308

ISBN

1137346302

Enbook ID

04771264

Wydawca

PALGRAVE MACMILLAN

Waga

274

Wymiary

234 x 158 x 10

Pełny opis

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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