Book description
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.
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.
