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.
Umberto Cherubini (2007). Correlation Risk. ROMA : Società Italiana di Statistica.
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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