Dynamic Copula Methods in Finance

Zusatztext

InhaltsangabeDynamic Copula Methods in Finance "Copulas address a central problem in financial modeling, namely how to describe the statistics of events which are related to two or more other events of interest. This important book provides a comprehensive and timely review of the theory and applications of copulas." Robert Elliott, Haskayne School of Business, University of Calgary "Researchers and practitioners in the field of finance will welcome the appearance of Dynamic Copula Methods in Finance. In this innovative and well-written book, the authors make a strong case for the application of convolution-based copulas in finance. The book features numerous illustrations and a wealth of examples, most of which concern applications to financial problems. Dynamic Copula Methods in Finance promises to be a valuable addition to the rapidly expanding literature on copula models in finance." Roger B. Nelsen, Professor Emeritus of Mathematics, Lewis & Clark College, Portland, Oregon "Static copula models have been extensively used in finance for more than a decade. In this book the authors show how to apply copula methods to dynamic problems, setting the ground for a number of important financial applications, from derivatives pricing to risk management." Fabio Mercurio, Head of Quant Business Managers, Bloomberg LP, New York

Autorenportrait

UMBERTO CHERUBINI is Associate Professor of Financial Mathematics at the University of Bologna, where he heads the Graduate Degree in Quantitative Finance. He is a fellow of the Financial Econometrics Research Center (FERC), a member of the Scientific Committees of Abiformazione - the professional education arm of the Italian banking association, and AIFIRM - the Italian Association of Financial Risk Managers. He has been consulting and teaching in the field of finance and risk management for more than ten years. Before joining academia he worked as an economist at the Economic Research Department of BCI Milan. He has published papers in finance and economics in international journals, and is co-author of six books on topics of risk management and financial mathematics, including Fourier Transform Methods in Finance, John Wiley & Sons, Ltd, 2009; and Copula Methods in Finance, John Wiley & Sons, Ltd, 2004. FABIO GOBBI is a post-doctoral researcher at the University of Bologna. He has a PhD in Statistics from the University of Florence and his areas of research focus on probability and financial econometrics. This is his first book. SABRINA MULINACCI is Associate Professor of Mathematical Methods for Economics and Finance at the University of Bologna, Italy. Prior to this Sabrina was Associate Professor of Mathematical Methods for Economics and Actuarial Sciences at the Catholic University of Milan. She has a PhD in Mathematics from the University of Pisa and has published a number of research papers in international journals on probability and mathematical finance. She is co-author of Fourier Transform Methods in Finance, John Wiley & Sons, Ltd, 2009. SILVIA ROMAGNOLI is Assistant Professor of Mathematical Models for Economics and Actuarial and Financial Sciences at the University of Bologna. Her scientific research is mainly addressed to the applications of stochastic models to finance and insurance. She has published several research papers in international journals on mathematical finance.

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