Copulae in Mathematical and Quantitative Finance
Broschiertes Buch

Copulae in Mathematical and Quantitative Finance

Proceedings of the Workshop Held in Cracow, 10-11 July 2012

Herausgegeben: Jaworski, Piotr; Durante, Fabrizio; Härdle, Wolfgang Karl
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Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis ...