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Record Nr. |
UNINA9910139577603321 |
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Titolo |
Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
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Pubbl/distr/stampa |
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Hoboken, NJ, : Wiley, 2011 |
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ISBN |
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1-118-46740-X |
1-283-29530-X |
9786613295309 |
1-119-95451-7 |
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Edizione |
[2nd ed.] |
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Descrizione fisica |
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1 online resource (286 p.) |
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Collana |
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Classificazione |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Finance - Mathematical models |
Mathematics |
Finances |
Models matemĂ tics |
Llibres electrònics |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Dynamic Copula Methods in Finance; Contents; Preface; 1 Correlation Risk in Finance; 1.1 Correlation Risk in Pricing and Risk Management; 1.2 Implied vs Realized Correlation; 1.3 Bottom-up vs Top-down Models; 1.4 Copula Functions; 1.5 Spatial and Temporal Dependence; 1.6 Long-range Dependence; 1.7 Multivariate GARCH Models; 1.8 Copulas and Convolution; 2 Copula Functions: The State of the Art; 2.1 Copula Functions: The Basic Recipe; 2.2 Market Co-movements; 2.3 Delta Hedging Multivariate Digital Products; 2.4 Linear Correlation; 2.5 Rank Correlation; 2.6 Multivariate Spearman's Rho |
2.7 Survival Copulas and Radial Symmetry2.8 Copula Volume and Survival Copulas; 2.9 Tail Dependence; 2.10 Long/Short Correlation; 2.11 Families of Copulas; 2.11.1 Elliptical Copulas; 2.11.2 Archimedean Copulas; 2.12 Kendall Function; 2.13 Exchangeability; 2.14 Hierarchical Copulas; 2.15 Conditional Probability and Factor Copulas; 2.16 Copula Density and Vine Copulas; 2.17 Dynamic Copulas; 2.17.1 Conditional Copulas; 2.17.2 Pseudo-copulas; 3 Copula Functions and Asset Price |
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