Financial Engineering with Copulas Explained - M. Scherer,J. Mai
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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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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.
More Information
| Author | M. Scherer, J. Mai |
|---|---|
| Publisher | Palgrave MacMillan UK |
| Release year | 2014 |
| Cover type | Softcover |
| EAN | 9781137346308 |