LEADER 05398nam 22006734a 450 001 9910145018903321 005 20200520144314.0 010 $a1-118-67333-6 010 $a1-280-27169-8 010 $a9786610271696 010 $a0-470-86345-5 035 $a(CKB)1000000000244113 035 $a(EBL)219703 035 $a(OCoLC)56476683 035 $a(SSID)ssj0000130611 035 $a(PQKBManifestationID)11131743 035 $a(PQKBTitleCode)TC0000130611 035 $a(PQKBWorkID)10083330 035 $a(PQKB)10947535 035 $a(MiAaPQ)EBC219703 035 $a(Au-PeEL)EBL219703 035 $a(CaPaEBR)ebr10114028 035 $a(CaONFJC)MIL27169 035 $a(PPN)151034540 035 $a(EXLCZ)991000000000244113 100 $a20040209d2004 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCopula methods in finance$b[electronic resource] /$fUmberto Cherubini, Elisa Luciano, and Walter Vecchiato 210 $aHoboken, NJ $cJohn Wiley & Sons$dc2004 215 $a1 online resource (311 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-86344-7 320 $aIncludes bibliographical references (p. [281]-287 and index. 327 $aCopula 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 327 $a1.4 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 327 $a1.8.2 Copula functions duality1.8.3 Examples of copula functions; 1.8.4 Copula functions and market comovements; 1.8.5 Tail dependence; 1.8.6 Equity-linked products; 1.8.7 Credit-linked products; 2 Bivariate Copula Functions; 2.1 Definition and properties; 2.2 Fre?chet bounds and concordance order; 2.3 Sklar's theorem and the probabilistic interpretation of copulas; 2.3.1 Sklar's theorem; 2.3.2 The subcopula in Sklar's theorem; 2.3.3 Modeling consequences; 2.3.4 Sklar's theorem in financial applications: toward a non-Black-Scholes world; 2.4 Copulas as dependence functions: basic facts 327 $a2.4.1 Independence2.4.2 Comonotonicity; 2.4.3 Monotone transforms and copula invariance; 2.4.4 An application: VaR trade-off; 2.5 Survival copula and joint survival function; 2.5.1 An application: default probability with exogenous shocks; 2.6 Density and canonical representation; 2.7 Bounds for the distribution functions of sum of r.v.s; 2.7.1 An application: VaR bounds; 2.8 Appendix; 3 Market Comovements and Copula Families; 3.1 Measures of association; 3.1.1 Concordance; 3.1.2 Kendall's ?; 3.1.3 Spearman's ?S; 3.1.4 Linear correlation; 3.1.5 Tail dependence 327 $a3.1.6 Positive quadrant dependency3.2 Parametric families of bivariate copulas; 3.2.1 The bivariate Gaussian copula; 3.2.2 The bivariate Student's t copula; 3.2.3 The Fre?chet family; 3.2.4 Archimedean copulas; 3.2.5 The Marshall-Olkin copula; 4 Multivariate Copulas; 4.1 Definition and basic properties; 4.2 Fre?chet bounds and concordance order: the multidimensional case; 4.3 Sklar's theorem and the basic probabilistic interpretation: the multidimensional case; 4.3.1 Modeling consequences; 4.4 Survival copula and joint survival function 327 $a4.5 Density and canonical representation of a multidimensional copula 330 $aCopula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions. 410 0$aWiley finance series. 606 $aFinance$xMathematical models 615 0$aFinance$xMathematical models. 676 $a332/.01/519535 700 $aCherubini$b Umberto$0118857 701 $aLuciano$b Elisa$0117714 701 $aVecchiato$b Walter$0614209 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910145018903321 996 $aCopula methods in finance$91129919 997 $aUNINA