The latest tools and techniques for pricing and risk management
This book introduces readers to the use of copula functions to
represent the dynamics of financial assets and risk factors,
integrated temporal and cross-section applications. The first part
of the book will briefly introduce the standard the theory of
copula functions, before examining the link between copulas and
Markov processes. It will then introduce new techniques to design
Markov processes that are suited to represent the dynamics of
market risk factors and their co-movement, providing techniques to
both estimate and simulate such dynamics. The second part of the
book will show readers how to apply these methods to the evaluation
of pricing of multivariate derivative contracts in the equity and
credit markets. It will then move on to explore the applications of
joint temporal and cross-section aggregation to the problem of risk
integration.
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