Contents
Preface xi
List of Common Symbols and Notations xv
1 Derivatives Pricing, Hedging and Risk Management: The State of the Art 1
2 Bivariate Copula Functions 49
3 Market Comovements and Copula Families 95
4 Multivariate Copulas 129
5 Estimation and Calibration from Market Data 153
7 Credit Risk Applications 195
8 Option Pricing with Copulas 231
Bibliography 281
Index 289