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Copula Methods in Finance by Umberto Cherubini

Copula Methods in Finance

by Umberto Cherubini
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Book cover type: Hardcover
  • ISBN13: 9780470863442
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Publication Date:
  • Pages: 310
  • Original Price: GBP 95.0
  • Language: English
  • Edition: N/A
  • Item Weight: 690 grams
  • BISAC Subject(s): Finance / General and Business Mathematics

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications.  It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis.  Examples include pricing of the main exotic derivatives (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.

UMBERTO CHERUBINI is Associate Professor of Mathematical Finance at the University of Bologna, and partner in Polyhedron Computational Finance, Florence, Italy. He is fellow of FERC, Cass Business School, London and Ente Einaudi, Bank of Italy, Rome. He has also taught graduate finance courses at Catholic University in Milan, Hitotsubashi University in Tokyo, and is supervisor of the Market Risk Area at the risk management education program of the Italian Banking Association (ABI). He is a member of the independent screening committee of TLX, the new Italian structured products market. Before joining the academia, he was with the Economic Research Department of Banca Commerciale Italiana, where he was Head of the Risk Management Unit.

ELISA LUCIANO, Ph.D., is Full Professor of Mathematical Finance at the University of Turin (Italy), Fellow of ICER, Turin, and Associate Fellow of FERC, Cass Business School, London. She also teaches at the École Nationale Supérieure de Cachan, Paris, and at the École Supérieure en Sciences Informatiques, Université de Nice-Sophia Antipolis, France. Her main research interest is Quantitative Finance, with special emphasis on portfolio selection and risk measurement. She has published extensively in Academic journals, including the Journal of Finance and Applied Mathematical Finance.

WALTER VECCHIATO is Head of Risk Management and Research at Veneto Banca in Montebelluna Treviso, Italy. Previously he was Head of Credit Derivatives Analysis at Banca Intesa in Milan, Italy. He was also Professor of Applied Statistics in University of Pavia, Italy and he was Visiting Researcher in Financial Econometrics at University of California at San Diego, La Jolla. He enhanced his research with the presence of Nobel Economic Sciences 2003 award winner Professor Robert F. Engle. He has written and published on quantitative finance and risk management techniques. He is a referee for many academic and practitioner journals and a frequent speaker for many symposiums on Finance worldwide.

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