Doctoral thesis

Constrained nonparametric dependence with application in finance

  • Gagliardini, Patrick
  • Barone-Adesi, Giovanni (degree supervisor)

262 p

Thèse de doctorat: Università della Svizzera italiana, 2003 (jury note: Summa cum laude)

English The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of... Show more…
  • English
Religion, theology
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