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Record Nr. |
UNINA9910145018903321 |
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Autore |
Cherubini Umberto |
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Titolo |
Copula methods in finance [[electronic resource] /] / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato |
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Pubbl/distr/stampa |
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Hoboken, NJ, : John Wiley & Sons, c2004 |
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ISBN |
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1-118-67333-6 |
1-280-27169-8 |
9786610271696 |
0-470-86345-5 |
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Descrizione fisica |
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1 online resource (311 p.) |
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Collana |
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Altri autori (Persone) |
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LucianoElisa |
VecchiatoWalter |
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Disciplina |
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Soggetti |
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Finance - Mathematical models |
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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 (p. [281]-287 and index. |
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Nota di contenuto |
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Copula Methods in Finance; Contents; Preface; List of Common Symbols and Notations; 1 Derivatives Pricing, Hedging and Risk Management: The State of the Art; 1.1 Introduction; 1.2 Derivative pricing basics: the binomial model; 1.2.1 Replicating portfolios; 1.2.2 No-arbitrage and the risk-neutral probability measure; 1.2.3 No-arbitrage and the objective probability measure; 1.2.4 Discounting under different probability measures; 1.2.5 Multiple states of the world; 1.3 The Black-Scholes model; 1.3.1 Ito's lemma; 1.3.2 Girsanov theorem; 1.3.3 The martingale property; 1.3.4 Digital options |
1.4 Interest rate derivatives1.4.1 Affine factor models; 1.4.2 Forward martingale measure; 1.4.3 LIBOR market model; 1.5 Smile and term structure effects of volatility; 1.5.1 Stochastic volatility models; 1.5.2 Local volatility models; 1.5.3 Implied probability; 1.6 Incomplete markets; 1.6.1 Back to utility theory; 1.6.2 Super-hedging strategies; 1.7 Credit risk; 1.7.1 Structural models; 1.7.2 Reduced form models; 1.7.3 Implied default probabilities; 1.7.4 Counterparty risk; 1.8 Copula methods in finance: a primer; 1.8.1 Joint probabilities, marginal probabilities and copula functions |
1.8.2 Copula functions duality1.8.3 Examples of copula functions; 1.8.4 |
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