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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 | Chichester : John Wiley & Sons, Ltd, 2004 |
| Descrizione fisica | XVI, 293 p. : graf. ; 25 cm |
| Disciplina | 332.015195 dc. 21(Finanza -modelli econometrici) |
| Altri autori (Persone) |
LUCIANO, Elisa
VECCHIATO, Walter |
| Collana | Wiley finance editions. - New York |
| Soggetto topico | Finanza - Modelli matematici |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005515660203316 |
CHERUBINI, Umberto
|
||
| Chichester : John Wiley & Sons, Ltd, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
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 |
| 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-9910145018903321 |
|
Cherubini Umberto
|
||
| Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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 | Chichester, : John Wiley & Sons, 2004 |
| Descrizione fisica | XVI, 293 p. ; 25 cm |
| Disciplina | 332.015 |
| Altri autori (Persone) |
Vecchiato, Walter
Luciano, Elisa |
| Soggetto topico | Finanza Metodi matematici |
| ISBN | 0470863447 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAS-RML0280228 |
|
Cherubini, Umberto
|
||
| Chichester, : John Wiley & Sons, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Cassino | ||
| ||
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
|
||
| Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||