Lien ebook : https://univ-scholarvox-com.ezproxy.univ-catholille.fr/catal...

eISBN : 978-1-119-95452-1

Sommaire :
1 Correlation Risk in Finance
1.1 Correlation Risk in Pricing and Risk Management
1.2 Implied vs Realized Correlation
1.3 Bottom-up vs Top-down Models
1.4 Copula Functions
1.5 Spatial and Temporal Dependence
1.6 Long-range Dependence
1.7 Multivariate GARCH Models
1.8 Copulas and Convolution

2 Copula Functions: The State of the Art
2.1 Copula Functions: The Basic Recipe
2.2 Market Co-movements
2.3 Delta Hedging Multivariate Digital Products
2.4 Linear Correlation
2.5 Rank Correlation
2.6 Multivariate Spearman's Rho
2.7 Survival Copulas and Radial Symmetry
2.8 Copula Volume and Survival Copulas
2.9 Tail Dependence
2.10 Long/Short Correlation
2.11 Families of Copulas
2.12 Kendall Function
2.13 Exchangeability
2.14 Hierarchical Copulas
2.15 Conditional Probability and Factor Copulas
2.16 Copula Density and Vine Copulas
2.17 Dynamic Copulas

3 Copula Functions and Asset Price Dynamics
3.1 The Dynamics of Speculative Prices
3.2 Copulas and Markov Processes: The DNO approach
3.3 Time-changed Brownian Copulas
3.4 Copulas and Martingale Processes
3.5 Multivariate Processes

4 Copula-based Econometrics of Dynamic Processes
4.1 Dynamic Copula Quantile Regressions
4.2 Copula-based Markov Processes: Non-linear Quantile Autoregression
4.3 Copula-based Markov Processes: Semi-parametric Estimation
4.4 Copula-based Markov Processes: Non-parametric Estimation
4.5 Copula-based Markov Processes: Mixing Properties
4.6 Persistence and Long Memory
4.7 C-convolution-based Markov Processes: The Likelihood Function

5 Multivariate Equity Products
5.1 Multivariate Equity Products
5.2 Recursions of Running Maxima and Minima
5.3 The Memory Feature
5.4 Risk-neutral Pricing Restrictions
5.5 Time-changed Brownian Copulas
5.6 Variance Swaps
5.7 Semi-parametric Pricing of Path-dependent Derivatives
5.8 The Multivariate Pricing Setting
5.9 H-Condition and Granger Causality
5.10 Multivariate Pricing Recursion
5.11 Hedging Multivariate Equity Derivatives
5.12 Correlation Swaps
5.13 The Term Structure of Multivariate Equity Derivatives

6 Multivariate Credit Products
6.1 Credit Transfer Finance
6.2 Credit Information: Equity vs CDS
6.3 Structural Models
6.4 Intensity-based Models
6.5 Frailty Models
6.6 Granularity Adjustment
6.7 Credit Portfolio Analysis
6.8 Dynamic Analysis of Credit Risk Portfolios

7 Risk Capital Management
7.1 A Review of Value-at-Risk and Other Measures
7.2 Capital Aggregation and Allocation
7.3 Risk Measurement of Managed Portfolios
7.4 Temporal Aggregation of Risk Measures

8 Frontier Issues
8.1 L´evy Copulas
8.2 Pareto Copulas
8.3 Semi-martingale Copulas

A Elements of Probability
A.1 Elements of Measure Theory
A.2 Integration
A.2.1 Expected Values and Moments
A.3 The Moment-generating Function or Laplace Transform
A.4 The Characteristic Function
A.5 Relevant Probability Distributions
A.6 Random Vectors and Multivariate Distributions
A.6.1 The Multivariate Normal Distribution
A.7 Infinite Divisibility
A.8 Convergence of Sequences of Random Variables
A.8.1 The Strong Law of Large Numbers
A.9 The Radon–Nikodym Derivative
A.10 Conditional Expectation

B Elements of Stochastic Processes Theory
B.1 Stochastic Processes
B.1.1 Filtrations
B.1.2 Stopping Times
B.2 Martingales
B.3 Markov Processes
B.4 Lévy Processes
B.4.1 Subordinators
B.5 Semi-martingales

References

Extra Reading
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque