We provide a review of approaches to correlation measurement in techniques in finance, and their applications to asset management, pricing and risk management. Particular enphasis is given to a new model of asset price dynamics based on copula functions.
Correlation Risk / Umberto Cherubini. - STAMPA. - (2007), pp. na-na. (Intervento presentato al convegno Società Italiana di Statistica, Convegno Intermedio tenutosi a Venezia nel 6-8 Giugno 2007).
Correlation Risk
CHERUBINI, UMBERTO
2007
Abstract
We provide a review of approaches to correlation measurement in techniques in finance, and their applications to asset management, pricing and risk management. Particular enphasis is given to a new model of asset price dynamics based on copula functions.File in questo prodotto:
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