Copula Methods in Finance (The Wiley Finance Series) and over one million other books are available for Amazon Kindle. Learn more
  • List Price: $170.00
  • Save: $46.48 (27%)
Only 2 left in stock (more on the way).
Ships from and sold by
Gift-wrap available.
Copula Methods in Finance has been added to your Cart
+ $3.99 shipping
Used: Very Good | Details
Sold by worldofbooksusa
Condition: Used: Very Good
Access codes and supplements are not guaranteed with used items.
Have one to sell? Sell on Amazon
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more
See this image

Copula Methods in Finance Hardcover – July 2, 2004

ISBN-13: 978-0470863442 ISBN-10: 0470863447 Edition: 1st

Buy New
Price: $123.52
31 New from $77.58 24 Used from $34.94
Amazon Price New from Used from
"Please retry"
"Please retry"
$77.58 $34.94
"Please retry"

There is a newer edition of this item:

Dynamic Copula Methods in Finance
Usually ships within 1 to 4 weeks.
Free Two-Day Shipping for College Students with Amazon Student Free%20Two-Day%20Shipping%20for%20College%20Students%20with%20Amazon%20Student

Hero Quick Promo
Save up to 90% on Textbooks
Rent textbooks, buy textbooks, or get up to 80% back when you sell us your books. Shop Now
$123.52 FREE Shipping. Only 2 left in stock (more on the way). Ships from and sold by Gift-wrap available.

Frequently Bought Together

Copula Methods in Finance + Dynamic Copula Methods in Finance
Price for both: $208.19

One of these items ships sooner than the other.

Buy the selected items together

Editorial Reviews


"...This book is of great use for researchers as well as practitioners..." (Statistical Papers, July 2005)

From the Back Cover

The evaluation and risk measurement of portfolios of complex non-linear positions and non-normal risk factors has become a major nightmare for people working in the structured finance business. Dealing with "fat tails" and "smile effects", as well as the typical asymmetric shape of default risk has rapidly made obsolete the traditional linear correlation tools. In this new environment, the copula functions methodology has become the most significant new technique to handle the co-movement between markets and risk factors in a flexible way. This is the first book addressing copula functions from the viewpoint of mathematical finance applications. The method is to explain copulas by means of applications to major topics in derivative pricing and credit risk analysis, with the target to make the reader able to device her own application, following the strategies illustrated throughout the book. Examples include pricing of the main exotic derivatives typically included in commonly traded structured finance products (barrier, basket, rainbow options), as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.

Copula Methods in Finance provides:

  • Rigorous treatment of the mathematics of copula functions, illustrated with financial applications
  • Complete analysis of estimation and simulation issues applied to market data
  • Credit-linked structured products applications: CDO and basket credit derivatives
  • Equity-linked structured product applications: barrier, rainbow and basket derivatives
  • Counterparty risk in derivative transactions: vulnerable option pricing

Best Books of the Month
Best Books of the Month
Want to know our Editors' picks for the best books of the month? Browse Best Books of the Month, featuring our favorite new books in more than a dozen categories.

Product Details

  • Hardcover: 310 pages
  • Publisher: Wiley; 1 edition (July 2, 2004)
  • Language: English
  • ISBN-10: 0470863447
  • ISBN-13: 978-0470863442
  • Product Dimensions: 6.9 x 0.9 x 9.7 inches
  • Shipping Weight: 1.6 pounds (View shipping rates and policies)
  • Average Customer Review: 2.7 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Best Sellers Rank: #2,450,580 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

2.7 out of 5 stars
5 star
4 star
3 star
2 star
1 star
See all 3 customer reviews
Share your thoughts with other customers

Most Helpful Customer Reviews

19 of 20 people found the following review helpful By Galileo Galilei on February 7, 2006
Format: Hardcover
This book promises to be a very good comprehensive introduction to copula theory and addresses many practical aspects of copula. There are useful sections on bivariate (2-dimensional) and mulit-variate copulas including elliptical (Normal, Student t) and archimedian copula. There is a fair section on fitting copula parameters to data and a good section on Monte Carlo simulation of fitted copula.

However, there are numerous errors that I've come across, which make learning from this book very difficult or impossible. In fact, every section I've looked at in detail has mistakes, not typos, in the equations. (I just dropped my rating to 2 stars because of this!) The multivariate Frechet minimum boundary is written incorrectly in multiple locations. Whereas an example demonstrates that this bound is not a true copula, the following theorem says that it is a copula. The reference for the theorem, Sklar (1999), actually reads "Personal communication" in the bibliography! This reference is only slightly better than "From a dream..."

Unfortunate notation confuses the reader by repeating the copula density notation for the "conditional distribution" in the simulation section. This section is also riddled with mistakes and unexplained notation. Thankfully, enough examples exist that some use can be make of portions of the text by the practitioner.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
18 of 20 people found the following review helpful By Surf/Bike on July 21, 2004
Format: Hardcover
This is the kind of book I wished to have when I started to study copula functions in finance. The book does not bring big innovations in the subject, but has an exception value in its attempt to collect and make accessible lot of material on copulae. Equity and Credit Risk are the primary fields of application. After introducing bivariate families of copulae and different measures of association, it extends the analysis to the multidimensional case. Then two very nice chapters deal with the problem of 1) calibrating copulae 2) sampling from various copulae. Finally, applications to credit risk (CDOs) and equity options are presented. Overall, I think it is a very valuable book for all the people looking to have one unique source to understand and apply copula functions in finance.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
4 of 9 people found the following review helpful By xinonnet on April 13, 2006
Format: Hardcover
This book is difficult to follow, although the examples helps to clarify some of the concepts. While it might be a good reference, it is not a good introductory book for someone who didn't have any prior knowledge on copulas.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again

Set up an Amazon Giveaway

Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Learn more
Copula Methods in Finance
This item: Copula Methods in Finance
Price: $170.00 $123.52
Ships from and sold by

What Other Items Do Customers Buy After Viewing This Item?