skip to content
Financial engineering with copulas explained Preview this item
ClosePreview this item
Checking...

Financial engineering with copulas explained

Author: Jan-Frederik Mai; Matthias Scherer
Publisher: [Basingstoke] : Palgrave Macmillan, 2014.
Series: Financial engineering explained.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The modeling of dependence structures (or copulas) is undoubtedly one of the key challenges for modern financial engineering. First applied to credit-risk modeling, 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. However, by their very nature, copulas are complex and their applications are  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Mai, Jan-Frederik. Financial Engineering with Copulas Explained
Druck-Ausgabe
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jan-Frederik Mai; Matthias Scherer
ISBN: 9781137346315 1137346310
OCLC Number: 892484011
Description: 1 online resource.
Contents: 1. What are Copulas? --
2. Which Rules for Handling Copulas Do I Need? --
3. How to Measure Dependence? --
4. What are Popular Families or Copulas? --
5. How to Stimulate Multivariate Distributions? --
6. How to Estimate Parameters of a Multivariate Model? --
7. How to Deal with Uncertainty Concerning Dependence? --
8. How to Construct a Portfolio-Default Model?
Series Title: Financial engineering explained.
Responsibility: Jan-Frederik Mai and Matthias Scherer.

Abstract:

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  Read more...

Reviews

Editorial reviews

Publisher Synopsis

'This book is a very valuable source for modeling specialists in the financial industry. It follows a non-technical but mathematically rigorous approach. Many illustrations as well as examples help Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/892484011> # Financial engineering with copulas explained
    a schema:MediaObject, schema:Book, schema:CreativeWork ;
   library:oclcnum "892484011" ;
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
   rdfs:comment "Warning: This malformed URI has been treated as a string - 'https://ebookcentral.proquest.com/lib/unt/detail.action?docID=1809277";'" ;
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/financial_engineering> ; # Financial engineering
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/credit_&_credit_institutions> ; # Credit & credit institutions
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/finance_and_accounting> ; # Finance and Accounting
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/copulas_mathematical_statistics> ; # Copulas (Mathematical statistics)
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/finance> ; # Finance
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/mathematics_probability_&_statistics_general> ; # MATHEMATICS / Probability & Statistics / General
   schema:about <http://dewey.info/class/519.535/e23/> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/2155667051#Topic/mathematics_applied> ; # MATHEMATICS / Applied
   schema:author <http://experiment.worldcat.org/entity/work/data/2155667051#Person/scherer_matthias_1979> ; # Matthias Scherer
   schema:author <http://experiment.worldcat.org/entity/work/data/2155667051#Person/mai_jan_frederik> ; # Jan-Frederik Mai
   schema:bookFormat schema:EBook ;
   schema:datePublished "2014" ;
   schema:description "1. What are Copulas? -- 2. Which Rules for Handling Copulas Do I Need? -- 3. How to Measure Dependence? -- 4. What are Popular Families or Copulas? -- 5. How to Stimulate Multivariate Distributions? -- 6. How to Estimate Parameters of a Multivariate Model? -- 7. How to Deal with Uncertainty Concerning Dependence? -- 8. How to Construct a Portfolio-Default Model?"@en ;
   schema:description "The modeling of dependence structures (or copulas) is undoubtedly one of the key challenges for modern financial engineering. First applied to credit-risk modeling, 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. However, by their very nature, copulas are complex and their applications are often misunderstood. Incorrectly applied, copulas can be hugely detrimental to a model or algorithm. Financial Engineering with Copulas Explained is a reader-friendly, yet rigorous introduction to the state-of-the-art regarding the theory of copulas, their simulation and estimation, and their use in financial applications. Starting with an introduction to the basic notions, such as required definitions and dependence measures, the book looks at statistical issues comprising parameter estimation and stochastic simulation. The book will show, from a financial engineering perspective, how copula theory can be applied in the context of portfolio credit-risk modeling, and how it can help to derive model-free bounds for relevant risk measures. The book will cover numerous different market applications of copulas, and enable readers to construct stable, high-dimensional models for asset pricing and risk modeling. Written to appeal to quantitatively minded practitioners across the trading floors and in risk management, academics and students, Financial Engineering with Copulas Explained will be a valuable, accessible and practical guide to this complex topic."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/2155667051> ;
   schema:genre "Electronic books"@en ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/2155667051#Series/financial_engineering_explained> ; # Financial engineering explained.
   schema:isSimilarTo <http://worldcat.org/entity/work/data/2155667051#CreativeWork/mai_jan_frederik_financial_engineering_with_copulas_explained> ;
   schema:name "Financial engineering with copulas explained"@en ;
   schema:productID "892484011" ;
   schema:url <http://www.books24x7.com/marc.asp?bookid=89372> ;
   schema:url <http://www.palgraveconnect.com/doifinder/10.1057/9781137346315> ;
   schema:url <https://link.springer.com/openurl?genre=book&isbn=978-1-137-34631-5> ;
   schema:url "https://ebookcentral.proquest.com/lib/unt/detail.action?docID=1809277";" ;
   schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=1809277> ;
   schema:url <http://www.palgraveconnect.com/pc/doifinder/10.1057/9781137346315> ;
   schema:url <http://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=1809277> ;
   schema:url <http://ebookcentral.proquest.com/lib/ucm/detail.action?docID=1809277> ;
   schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=4329190> ;
   schema:url <http://www.myilibrary.com?id=648210> ;
   schema:url <http://site.ebrary.com/id/10958937> ;
   schema:url <http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=998609> ;
   schema:url <https://link.springer.com/openurl?genre=book&isbn=978-1-137-34630-8> ;
   schema:url <http://dx.doi.org/10.1057/9781137346315> ;
   schema:workExample <http://worldcat.org/isbn/9781137346315> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/892484011> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/2155667051#Person/mai_jan_frederik> # Jan-Frederik Mai
    a schema:Person ;
   schema:familyName "Mai" ;
   schema:givenName "Jan-Frederik" ;
   schema:name "Jan-Frederik Mai" ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Person/scherer_matthias_1979> # Matthias Scherer
    a schema:Person ;
   schema:birthDate "1979" ;
   schema:familyName "Scherer" ;
   schema:givenName "Matthias" ;
   schema:name "Matthias Scherer" ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Series/financial_engineering_explained> # Financial engineering explained.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/892484011> ; # Financial engineering with copulas explained
   schema:name "Financial engineering explained." ;
   schema:name "Financial Engineering Explained" ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Topic/copulas_mathematical_statistics> # Copulas (Mathematical statistics)
    a schema:Intangible ;
   schema:name "Copulas (Mathematical statistics)"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Topic/credit_&_credit_institutions> # Credit & credit institutions
    a schema:Intangible ;
   schema:name "Credit & credit institutions"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Topic/finance_and_accounting> # Finance and Accounting
    a schema:Intangible ;
   schema:name "Finance and Accounting"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Topic/financial_engineering> # Financial engineering
    a schema:Intangible ;
   schema:name "Financial engineering"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Topic/mathematics_applied> # MATHEMATICS / Applied
    a schema:Intangible ;
   schema:name "MATHEMATICS / Applied"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/2155667051#Topic/mathematics_probability_&_statistics_general> # MATHEMATICS / Probability & Statistics / General
    a schema:Intangible ;
   schema:name "MATHEMATICS / Probability & Statistics / General"@en ;
    .

<http://worldcat.org/entity/work/data/2155667051#CreativeWork/mai_jan_frederik_financial_engineering_with_copulas_explained>
    a schema:CreativeWork ;
   rdfs:label "Mai, Jan-Frederik. Financial Engineering with Copulas Explained" ;
   schema:description "Print version:" ;
   schema:isSimilarTo <http://www.worldcat.org/oclc/892484011> ; # Financial engineering with copulas explained
    .

<http://worldcat.org/isbn/9781137346315>
    a schema:ProductModel ;
   schema:isbn "1137346310" ;
   schema:isbn "9781137346315" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.