His research interests span Mathematical Finance, but focus on credit-risk analysis and the application of copulas. Scherer has co-authored numerous articles on financial topics including dependence modeling and the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications. He holds a PhD in Financial Mathematics from Technische Universitat Munchen and is co-author of numerous research articles in the field of dependence modeling and of the book Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications.
What are Copulas? How to Measure Dependence? What are Popular Families or Copulas?
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It joins a rigorous mathematical explanation of the main aspects of copula theory with a series of illustrations, examples and practical aspects that is sure to be appreciated by practitioners. A must-read book to understand the role of dependence in the financial and insurance industry. 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.
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Financial Engineering Explained Free Preview. Author team provides a good balance of academic rigor and market practice — essential for this complex topic The focus of the book is on arbitrary dimensions and arbitrary copulas as is required in the industry , as opposed to 'bivariate literature' and 'elliptical copula literature' The book addresses specific modelling challenges in the industry, and illustrates how copula methods can help see more benefits.
Buy eBook. Buy Softcover. FAQ Policy. About this book This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets.
Show all. Table of contents 8 chapters Table of contents 8 chapters What Are Copulas?
Publisher: Basingstoke, Hampshire :Palgrave Macmillan, Format: Books. Physical Description: xvi, pages :illustrations ;24 cm.
Series Title: Financial engineering explained. Abstract: The modeling of dependence structures or copulas is undoubtedly one of the key challenges for modern financial engineering.
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First applied to credit-risk modeling, 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.