Copula methods in finance

Umberto Cherubini, Elisa Luciano, Walter Vecchiato

"This book addresses copula functions from the viewpoint of mathematical finance applications. The method is to explain copulas by means of applications to major topics in derivative pricing and credit risk analysis, with the target to make readers able to devise their own application, following the strategies illustrated throughout the book. Examples include pricing of the main exotic derivatives typically included in commonly-traded structured finance products (barrier, basket, rainbow options), as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions."--BOOK JACKET.

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