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"Luciano, Elisa, author"
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Copula methods in finance
by
Cherubini, Umberto
,
Luciano, Elisa
,
Vecchiato, Walter
in
Finance
,
Finance -- Mathematical models
,
Mathematical models
2004
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.