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雷达卡
<P><BR>2004 版</P>
<P>Outline of the book<BR>Chapter 1 reviews the state of the art in asset pricing and risk management, going over the<BR>major frontier issues and providing justifications for introducing copula functions.<BR>Chapter 2 introduces the reader to the bivariate copula case. It presents the mathematical<BR>and probabilistic background on which the applications are built and gives some first<BR>examples in finance.<BR>Chapter 3 discusses the flaws of linear correlation and highlights how copula functions,<BR>along with non-parametric association measures, may provide a much more flexible way to<BR>represent market comovements.<BR>Chapter 4 extends the technical tools to a multivariate setting. Readers who are not already<BR>familiar with copulas are advised to skip this chapter at first reading (or to read it at their<BR>own risk!).<BR>Chapter 5 explains the statistical inference for copulas. It covers both methodological<BR>aspects and applications from market data, such as calibration of actual risk factors comovements<BR>and VaR measurement. Here the readers can find details on the classical estimation<BR>methods as well as on most recent approaches, such as the conditional copula.<BR>Chapter 6 is devoted to an exhaustive account of simulation algorithms for a large class<BR>of multivariate copulas. It is enhanced by financial examples.<BR>Chapter 7 presents credit risk applications, besides giving a brief introduction to credit<BR>derivative markets and instruments. It applies copulas to the pricing of complex credit<BR>structures such as basket default swaps and CDOs. It is shown how to calibrate the pricing<BR>Preface xiii<BR>model to market data. Its sensitivity with respect to the copula choice is accounted for in<BR>concrete examples.<BR>Chapter 8 covers option pricing applications. Starting from the bivariate pricing kernel,<BR>copulas are used to evaluate counterparty risk in derivative transactions and bivariate rainbow<BR>options, such as options to exchange. We also show how the barrier option pricing<BR>problem can be cast in a bivariate setting and can be represented in terms of copulas.<BR>Finally, the estimation and simulation techniques presented in Chapters 5 and 6 are put at<BR>work to solve the evaluation problem of a multivariate basket option.</P>
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