Financial Engineering with Copulas Explained (Financial Engineering Explained)

Decent Overview, BUT Simply Using the R Copula Package is Much More Informative The book does a good job explaining the math behind the copulas and where they are applicable. I found this book sorely lacking on any application though. An accompaniment of R code for many of the concepts walking through a real application would deepen understanding a great deal.

This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.

But it will be also a great second choice for the many who have found this journey and the theoretical foundations of copulas too complex and intimidating the first time they tried it.'Frank Romeike, Managing Director and founder RiskNET. We discussed this ourselves in the 2010 book 'Credit Models and the Crisis'. Christian Bluhm, Chief Risk Officer and Spokesman of the Executive Board, FMS Wertmanagement'Copula functions have been controversial mathematical tools in financial modeling. Especially remarkable are the various parts of the book dealing with the simulation of copulas. It

Dr. His research interests span Mathematical Finance, but focus on credit-risk analysis and the application of copulas. Dr. He holds a PhD from the University of Ulm, and a Masters in Mathematics from Syracuse University. He holds a PhD in Financial Mathematics from Technische Universität München and is co-author of numerous research articles in the field of dependence modeling and of the book Simulating Copulas: Stochastic Models, Sa