We review the basic aspects of the concept of signature for a coherent system. The cases of exchangeability and non-exchangeability are compared in view of possible applications to the analysis of financial risk. The case of a special class of basket option is finally analyzed.
Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk / Cerqueti, R.; Spizzichino, F.. - (2015), pp. 361-376. [10:1007/978-3-319-8029-8_27].
Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk
R. Cerqueti;
2015
Abstract
We review the basic aspects of the concept of signature for a coherent system. The cases of exchangeability and non-exchangeability are compared in view of possible applications to the analysis of financial risk. The case of a special class of basket option is finally analyzed.File allegati a questo prodotto
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