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The modeling of dependence structures (or copulas) is undoubtedly one of the key challenges for modern financial engineering. 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. However, by their very nature, copulas are complex and their applications are often misunderstood. Incorrectly applied, copulas can be hugely detrimental to a model or algorithm.
Financial Engineering with Copulas Explained is a reader-friendly, yet rigorous introduction to the state-of-the-art regarding the theory of copulas, their simulation and estimation, and their use in financial applications.