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About this product
- DescriptionThis 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 of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
- Author BiographyDr. Matthias Scherer is Professor of Mathematical Finance at the Technische Universitat Munchen, where he gives lectures in Mathematical Finance and Statistics. His research interests span Mathematical Finance, but focus on credit-risk analysis and the application of copulas. He holds a PhD from the University of Ulm, and a Masters in Mathematics from Syracuse University. Dr. Scherer has co-authored numerous articles on financial topics including dependence modeling and the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications. Dr. Jan-Frederik Mai is Quantitative Analyst at XAIA Investment GmbH. He holds a PhD in Financial Mathematics from Technische Universitat Munchen and is co-author of numerous research articles in the field of dependence modeling and of the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.
- Author(s)Jan-Frederik Mai,Matthias Scherer
- PublisherPalgrave Macmillan
- Date of Publication02/10/2014
- GenreFinance & Accounting
- Series TitleFinancial Engineering Explained
- Place of PublicationBasingstoke
- Country of PublicationUnited Kingdom
- ImprintPalgrave Macmillan
- Content NoteXXII, 150 p.
- Weight268 g
- Width155 mm
- Height235 mm
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