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Preface | |
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Correlation Risk in Finance | |
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Correlation Risk in Pricing and Risk Management | |
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Implied vs Realized Correlation | |
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Bottom-up vs Top-down Models | |
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Copula Functions | |
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Spatial and Temporal Dependence | |
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Long-range Dependence | |
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Multivariate GARCH Models | |
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Copulas and Convolution | |
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Copula Functions: The State of the Art | |
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Copula Functions: The Basic Recipe | |
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Market Co-movements | |
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Delta Hedging Multivariate Digital Products | |
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Linear Correlation | |
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Rank Correlation | |
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Multivariate Spearman's Rho | |
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Survival Copulas and Radial Symmetry | |
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Copula Volume and Survival Copulas | |
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Tail Dependence | |
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Long/Short Correlation | |
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Families of Copulas | |
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Elliptical Copulas | |
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Archimedean Copulas | |
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Kendall Function | |
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Exchangeability | |
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Hierarchical Copulas | |
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Conditional Probability and Factor Copulas | |
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Copula Density and Vine Copulas | |
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Dynamic Copulas | |
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Conditional Copulas | |
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Pseudo-copulas | |
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Copula Functions and Asset Price Dynamics | |
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The Dynamics of Speculative Prices | |
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Copulas and Markov Processes: The DNO approach | |
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The * and <sub>*</sub> Product Operators | |
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Product Operators and Markov Processes | |
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Self-similar Copulas | |
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Simulating Markov Chains with Copulas | |
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Time-changed Brownian Copulas | |
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CEV Clock Brownian Copulas | |
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VG Clock Brownian Copulas | |
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Copulas and Martingale Processes | |
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C-Convolution | |
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Markov Processes with Independent Increments | |
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Markov Processes with Dependent Increments | |
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Extracting Dependent Increments in Markov Processes | |
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Martingale Processes | |
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Multivariate Processes | |
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Multivariate Markov Processes | |
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Granger Causality and the Martingale Condition | |
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Copula-based Econometrics of Dynamic Processes | |
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Dynamic Copula Quantile Regressions | |
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Copula-based Markov Processes: Non-linear Quantile Autoregression | |
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Copula-based Markov Processes: Semi-parametric Estimation | |
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Copula-based Markov Processes: Non-parametric Estimation | |
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Copula-based Markov Processes: Mixing Properties | |
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Persistence and Long Memory | |
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C-convolution-based Markov Processes: The Likelihood Function | |
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Multivariate Equity Products | |
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Multivariate Equity Products | |
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European Multivariate Equity Derivatives | |
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Path-dependent Equity Derivatives | |
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Recursions of Running Maxima and Minima | |
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The Memory Feature | |
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Risk-neutral Pricing Restrictions | |
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Time-changed Brownian Copulas | |
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Variance Swaps | |
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Semi-parametric Pricing of Path-dependent Derivatives | |
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The Multivariate Pricing Setting | |
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H-Condition and Granger Causality | |
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Multivariate Pricing Recursion | |
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Hedging Multivariate Equity Derivatives | |
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Correlation Swaps | |
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The Term Structure of Multivariate Equity Derivatives | |
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Altiplanos | |
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Everest | |
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Spread Options | |
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Multivariate Credit Products | |
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Credit Transfer Finance | |
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Univariate Credit Transfer Products | |
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Multivariate Credit Transfer Products | |
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Credit Information: Equity vs CDS | |
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Structural Models | |
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Univariate Model: Credit Risk as a Put Option | |
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Multivariate Model: Gaussian Copula | |
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Large Portfolio Model: Vasicek Formula | |
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Intensity-based Models | |
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Univariate Model: Poisson and Cox Processes | |
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Multivariate Model: Marshall-Olkin Copula | |
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Homogeneous Model: Cuadras Aug� Copula | |
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Frailty Models | |
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Multivariate Model: Archimedean Copulas | |
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Large Portfolio Model: Sch�nbucher Formula | |
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Granularity Adjustment | |
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Credit Portfolio Analysis | |
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Semi-unsupervised Cluster Analysis: K-means | |
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Unsupervised Cluster Analysis: Kohonen Self-organizing Maps | |
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(Semi-)unsupervised Cluster Analysis: Hierarchical Correlation Model | |
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Dynamic Analysis of Credit Risk Portfolios | |
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Risk Capital Management | |
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A Review of Value-at-Risk and Other Measures | |
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Capital Aggregation and Allocation | |
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Aggregation: C-Convolution | |
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Allocation: Level Curves | |
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Allocation with Constraints | |
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Risk Measurement of Managed Portfolios | |
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Henriksson-Merton Model | |
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Semi-parametric Analysis of Managed Funds | |
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Market-neutral Investments | |
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Temporal Aggregation of Risk Measures | |
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The Square-root Formula | |
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Temporal Aggregation by C-convolution | |
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Frontier Issues | |
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L'evy Copulas | |
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Pareto Copulas | |
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Semi-martingale Copulas | |
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A Elements of Probability | |
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Elements of Measure Theory | |
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Integration | |
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Expected Values and Moments | |
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The Moment-generating Function or Laplace Transform | |
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The Characteristic Function | |
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Relevant Probability Distributions | |
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Random Vectors and Multivariate Distributions | |
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The Multivariate Normal Distribution | |
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Infinite Divisibility | |
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Convergence of Sequences of Random Variables | |
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The Strong Law of Large Numbers | |
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The Radon-Nikodym Derivative | |
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Conditional Expectation | |
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Elements of Stochastic Processes Theory | |
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Stochastic Processes | |
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Filtrations | |
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Stopping Times | |
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Martingales | |
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Markov Processes | |
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L�vy Processes | |
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Subordinators | |
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Semi-martingales | |
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References | |
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Extra Reading | |
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Index | |