LEADER 05716nam 2200829Ia 450 001 9910811657703321 005 20220429135910.0 010 $a9786613295309 010 $a9781118467404 010 $a111846740X 010 $a9781283295307 010 $a128329530X 010 $a9781119954514 010 $a1119954517 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(Au-PeEL)EBL819175 035 $a(CaPaEBR)ebr10504128 035 $a(CaONFJC)MIL329530 035 $a(PPN)170271811 035 $a(FR-PaCSA)88808438 035 $a(MiAaPQ)EBC819175 035 $a(FRCYB88808438)88808438 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 /$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 $aDescription based upon print version of record. 311 08$a9780470683071 311 08$a0470683074 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 matemātics$2thub 608 $aLlibres electrōnics$2thub 615 0$aFinance$xMathematical models. 615 0$aMathematics. 615 7$aFinances. 615 7$aModels matemātics 676 $a332.01/519233 686 $aBUS027000$2bisacsh 701 $aCherubini$b Umberto$0118857 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910811657703321 996 $aDynamic copula methods in finance$93943859 997 $aUNINA