Financial Engineering with Copulas Explained
- ISBN-10
- 1137346310
- ISBN-13
- 9781137346315
- Category
- Business & Economics
- Pages
- 150
- Language
- English
- Published
- 2014-10-02
- Publisher
- Springer
- Authors
- J. Mai, M. Scherer
Description
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
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