LEADER 05558nam 2200757Ia 450 001 9910139577603321 005 20220429135910.0 010 $a1-118-46740-X 010 $a1-283-29530-X 010 $a9786613295309 010 $a1-119-95451-7 035 $a(CKB)2550000000056352 035 $a(EBL)819175 035 $a(OCoLC)763160933 035 $a(SSID)ssj0000554638 035 $a(PQKBManifestationID)11356210 035 $a(PQKBTitleCode)TC0000554638 035 $a(PQKBWorkID)10517016 035 $a(PQKB)11061648 035 $a(MiAaPQ)EBC819175 035 $a(Au-PeEL)EBL819175 035 $a(CaPaEBR)ebr10504128 035 $a(CaONFJC)MIL329530 035 $a(PPN)170271811 035 $a(EXLCZ)992550000000056352 100 $a20110812d2011 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aDynamic copula methods in finance$b[electronic resource] /$fUmberto Cherubini ... [et al.] 205 $a2nd ed. 210 $aHoboken, NJ $cWiley$d2011 215 $a1 online resource (286 p.) 225 1 $aThe wiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-68307-4 320 $aIncludes bibliographical references and index. 327 $aDynamic 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 327 $a2.7 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 Dynamics; 3.1 The Dynamics of Speculative Prices; 3.2 Copulas and Markov Processes: The DNO approach 327 $a3.2.1 The * and Product Operators3.2.2 Product Operators and Markov Processes; 3.2.3 Self-similar Copulas; 3.2.4 Simulating Markov Chains with Copulas; 3.3 Time-changed Brownian Copulas; 3.3.1 CEV Clock Brownian Copulas; 3.3.2 VG Clock Brownian Copulas; 3.4 Copulas and Martingale Processes; 3.4.1 C-Convolution; 3.4.2 Markov Processes with Independent Increments; 3.4.3 Markov Processes with Dependent Increments; 3.4.4 Extracting Dependent Increments in Markov Processes; 3.4.5 Martingale Processes; 3.5 Multivariate Processes; 3.5.1 Multivariate Markov Processes 327 $a3.5.2 Granger Causality and the Martingale Condition4 Copula-based Econometrics of Dynamic Processes; 4.1 Dynamic Copula Quantile Regressions; 4.2 Copula-based Markov Processes: Non-linear Quantile Autoregression; 4.3 Copula-based Markov Processes: Semi-parametric Estimation; 4.4 Copula-based Markov Processes: Non-parametric Estimation; 4.5 Copula-based Markov Processes: Mixing Properties; 4.6 Persistence and Long Memory; 4.7 C-convolution-based Markov Processes: The Likelihood Function; 5 Multivariate Equity Products; 5.1 Multivariate Equity Products 327 $a5.1.1 European Multivariate Equity Derivatives5.1.2 Path-dependent Equity Derivatives; 5.2 Recursions of Running Maxima and Minima; 5.3 The Memory Feature; 5.4 Risk-neutral Pricing Restrictions; 5.5 Time-changed Brownian Copulas; 5.6 Variance Swaps; 5.7 Semi-parametric Pricing of Path-dependent Derivatives; 5.8 The Multivariate Pricing Setting; 5.9 H-Condition and Granger Causality; 5.10 Multivariate Pricing Recursion; 5.11 Hedging Multivariate Equity Derivatives; 5.12 Correlation Swaps; 5.13 The Term Structure of Multivariate Equity Derivatives; 5.13.1 Altiplanos; 5.13.2 Everest 327 $a5.13.3 Spread Options 330 $aThe latest tools and techniques for pricing and risk management. This book introduces readers to the use of copula functions to represent the dynamics of financial assets and risk factors, integrated temporal and cross-section applications. The first part of the book will briefly introduce the standard the theory of copula functions, before examining the link between copulas and Markov processes. It will then introduce new techniques to design Markov processes that are suited to represent the dynamics of market risk factors and their co-movement, providing techniques to both e 410 0$aWiley finance series. 606 $aFinance$xMathematical models 606 $aMathematics 606 $aFinances$2thub 606 $aModels matemàtics$2thub 608 $aLlibres electrònics$2thub 615 0$aFinance$xMathematical models. 615 0$aMathematics. 615 7$aFinances 615 7$aModels matemàtics 676 $a332.01/519233 686 $aBUS027000$2bisacsh 701 $aCherubini$b Umberto$0118857 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139577603321 996 $aDynamic copula methods in finance$91938119 997 $aUNINA LEADER 04911nam 2201069Ia 450 001 996582058003316 005 20230207232733.0 010 $a0-8147-8573-5 010 $a0-8147-8571-9 024 7 $a10.18574/9780814785737 035 $a(CKB)2560000000052750 035 $a(EBL)865998 035 $a(OCoLC)779828347 035 $a(SSID)ssj0000467714 035 $a(PQKBManifestationID)11290585 035 $a(PQKBTitleCode)TC0000467714 035 $a(PQKBWorkID)10489814 035 $a(PQKB)10109160 035 $a(StDuBDS)EDZ0001323742 035 $a(MiAaPQ)EBC865998 035 $a(OCoLC)694145279 035 $a(MdBmJHUP)muse4912 035 $a(DE-B1597)548164 035 $a(DE-B1597)9780814785737 035 $a(Au-PeEL)EBL865998 035 $a(CaPaEBR)ebr10425206 035 $a(EXLCZ)992560000000052750 100 $a20100610d2010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aCivil War citizens$b[electronic resource] $erace, ethnicity, and identity in America's bloodiest conflict /$fedited by Susannah J. Ural 210 $aNew York $cNew York University Press$dc2010 215 $a1 online resource (249 p.) 300 $aIncludes index. 311 $a0-8147-8570-0 311 $a0-8147-8569-7 320 $aIncludes bibliographical references and index. 327 $tFrontmatter -- $tContents -- $tIntroduction -- $t1. Yankee Dutchmen -- $t2. ?With More Freedom and Independence Than the Yankees? -- $t3. ?Ye Sons of Green Erin Assemble? -- $t4. Irish Rebels, Southern Rebels -- $t5. The Jewish Confederates -- $t6. Native Americans in the Civil War -- $t7. The African American Struggle for Citizenship Rights in the Northern United States during the Civil War -- $tAbout the Contributors -- $tIndex 330 $aAt its core, the Civil War was a conflict over the meaning of citizenship. Most famously, it became a struggle over whether or not to grant rights to a group that stood outside the pale of civil-society: African Americans. But other groups--namely Jews, Germans, the Irish, and Native Americans--also became part of this struggle to exercise rights stripped from them by legislation, court rulings, and the prejudices that defined the age.Grounded in extensive research by experts in their respective fields, Civil War Citizens is the first volume to collectively analyze the wartime experiences of those who lived outside the dominant white, Anglo-Saxon Protestant citizenry of nineteenth-century America. The essays examine the momentous decisions made by these communities in the face of war, their desire for full citizenship, the complex loyalties that shaped their actions, and the inspiring and heartbreaking results of their choices-- choices that still echo through the United States today. Contributors: Stephen D. Engle, William McKee Evans, David T. Gleeson, Andrea Mehrländer, Joseph P. Reidy, Robert N. Rosen, and Susannah J. Ural. 606 $aMinorities$zUnited States$xSocial conditions$y19th century 606 $aImmigrants$zUnited States$xSocial conditions$y19th century 607 $aUnited States$xHistory$yCivil War, 1861-1865$xParticipation, Immigrant 607 $aUnited States$xHistory$yCivil War, 1861-1865$xParticipation, German American 607 $aUnited States$xHistory$yCivil War, 1861-1865$xParticipation, Irish American 607 $aUnited States$xHistory$yCivil War, 1861-1865$xParticipation, Jewish 607 $aUnited States$xHistory$yCivil War, 1861-1865$xParticipation, Indian 607 $aUnited States$xHistory$yCivil War, 1861-1865$xParticipation, African American 607 $aUnited States$xHistory$yCivil War, 1861-1865$xSocial aspects 607 $aUnited States$xSocial conditions$y19th century 610 $aAmerica. 610 $aAnglo-Saxon. 610 $aCitizens. 610 $aCivil. 610 $aGrounded. 610 $aProtestant. 610 $abook. 610 $acitizenry. 610 $adominant. 610 $aeffort. 610 $aexperiences. 610 $aexperts. 610 $aextensive. 610 $afields. 610 $afirst. 610 $agather. 610 $ainto. 610 $alived. 610 $anineteenth-century. 610 $aoutside. 610 $apopulations. 610 $aresearch. 610 $arespective. 610 $atheir. 610 $atogether. 610 $awartime. 610 $awhite. 615 0$aMinorities$xSocial conditions 615 0$aImmigrants$xSocial conditions 676 $a973.7/1 686 $a15.85$2bcl 686 $a74.94$2bcl 701 $aUral$b Susannah J$01655159 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a996582058003316 996 $aCivil War citizens$94007420 997 $aUNISA