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Copula methods in finance [[electronic resource] /] / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato
| Copula methods in finance [[electronic resource] /] / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato |
| Autore | Cherubini Umberto |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (311 p.) |
| Disciplina | 332/.01/519535 |
| Altri autori (Persone) |
LucianoElisa
VecchiatoWalter |
| Collana | Wiley finance series |
| Soggetto topico | Finance - Mathematical models |
| ISBN |
1-118-67333-6
1-280-27169-8 9786610271696 0-470-86345-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 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 Fréchet 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 2.4.1 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 τ; 3.1.3 Spearman's ρS; 3.1.4 Linear correlation; 3.1.5 Tail dependence 3.1.6 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 Fréchet family; 3.2.4 Archimedean copulas; 3.2.5 The Marshall-Olkin copula; 4 Multivariate Copulas; 4.1 Definition and basic properties; 4.2 Fréchet 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 4.5 Density and canonical representation of a multidimensional copula |
| Record Nr. | UNINA-9910827529003321 |
Cherubini Umberto
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| Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Copula methods in finance / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato
| Copula methods in finance / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Hoboken, NJ : John Wiley & Sons, c2004 |
| Descrizione fisica | xvi, 293 p. : ill. ; 26 cm |
| Disciplina | 332.01519535 |
| Altri autori (Persone) |
Luciano, Elisaauthor
Vecchiato, Walter |
| Collana | Wiley finance series |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 0470863447 |
| Classificazione |
AMS 91B28
LC HG106.C49 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000497699707536 |
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Cherubini, Umberto
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||
| Hoboken, NJ : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Distribution risk and credit spreads / Umberto Cherubini, Giovanni Della Lunga
| Distribution risk and credit spreads / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1997 |
| Descrizione fisica | 29 p. ; 21 cm |
| Altri autori (Persone) | Della Lunga, Giovanni |
| Collana | Collana ricerche |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003050230403321 |
|
Cherubini, Umberto
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||
| Milano : Banca commerciale italiana, 1997 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
| Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.01/519233 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics Finances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-46740-X
1-283-29530-X 9786613295309 1-119-95451-7 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Dynamics; 3.1 The Dynamics of Speculative Prices; 3.2 Copulas and Markov Processes: The DNO approach 3.2.1 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 3.5.2 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 5.1.1 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 5.13.3 Spread Options |
| Record Nr. | UNINA-9910139577603321 |
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
| Dynamic copula methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (286 p.) |
| Disciplina | 332.01/519233 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Mathematics Finances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-46740-X
1-283-29530-X 9786613295309 1-119-95451-7 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Dynamics; 3.1 The Dynamics of Speculative Prices; 3.2 Copulas and Markov Processes: The DNO approach 3.2.1 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 3.5.2 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 5.1.1 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 5.13.3 Spread Options |
| Record Nr. | UNINA-9910811657703321 |
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial distress, debt restructuring and the role of equity with nonadditive expected utility / Angelo Baglioni, Umberto Cherubini
| Financial distress, debt restructuring and the role of equity with nonadditive expected utility / Angelo Baglioni, Umberto Cherubini |
| Autore | Baglioni, Angelo |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1995 |
| Descrizione fisica | 34 p. ; 21 cm |
| Altri autori (Persone) | Cherubini, Umberto |
| Collana | Collana ricerche |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003078830403321 |
|
Baglioni, Angelo
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| Milano : Banca commerciale italiana, 1995 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
| Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
| Pubbl/distr/stampa | Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 |
| Descrizione fisica | 1 online resource (258 p.) |
| Disciplina | 332.01515723 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Finance - Mathematical models Fourier analysis |
| ISBN |
0-470-68492-5
1-119-20782-7 1-282-48313-7 9786612483134 0-470-68822-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index |
| Record Nr. | UNINA-9910139507903321 |
| Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.]
| Fourier transform methods in finance [[electronic resource] /] / Umberto Cherubini ... [et al.] |
| Pubbl/distr/stampa | Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 |
| Descrizione fisica | 1 online resource (258 p.) |
| Disciplina | 332.01515723 |
| Altri autori (Persone) | CherubiniUmberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Securities - Prices - Mathematical models Finance - Mathematical models Fourier analysis |
| ISBN |
0-470-68492-5
1-119-20782-7 1-282-48313-7 9786612483134 0-470-68822-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index |
| Record Nr. | UNINA-9910826274803321 |
| Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fuzzy measures and asset prices : accounting for information ambiguity / Umberto Cherubini
| Fuzzy measures and asset prices : accounting for information ambiguity / Umberto Cherubini |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : Banca commerciale italiana, 1995 |
| Descrizione fisica | 23 p. ; 21 cm |
| Collana | Collana ricerche |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003084950403321 |
|
Cherubini, Umberto
|
||
| Milano : Banca commerciale italiana, 1995 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Il rischio finanziario / Umberto Cherubini, Giovanni Della Lunga
| Il rischio finanziario / Umberto Cherubini, Giovanni Della Lunga |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Milano : McGraw-Hill, 2001 |
| Descrizione fisica | 453 p. ; 24 cm + CD-ROM |
| Disciplina | 368.0119 |
| Altri autori (Persone) | Della Lunga, Giovanni |
| Soggetto non controllato |
Teoria del rischio
Matematica finanziaria Strumenti finanziari |
| ISBN | 88-386-0890-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNINA-990003827190403321 |
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Cherubini, Umberto
|
||
| Milano : McGraw-Hill, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
