Modelling dependence in finance using copulas - Thierry Roncalli's ...
Modelling dependence in finance using copulas - Thierry Roncalli's ...
Modelling dependence in finance using copulas - Thierry Roncalli's ...
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Numerical illustrations<br />
ϖ = 1 — r = 5% — Exponential survival times with hasard rates λ n<br />
— the survival copula is a Normal copula with a matrix of parameters<br />
of the form<br />
⎡<br />
⎢ ⎢ ⎢ ⎣<br />
1 ρ · · · ρ<br />
1 . .. .<br />
1 ρ<br />
1<br />
⎤<br />
⎥ ⎥⎥<br />
⎦<br />
<strong>Modell<strong>in</strong>g</strong> <strong>dependence</strong> <strong>in</strong> f<strong>in</strong>ance us<strong>in</strong>g <strong>copulas</strong><br />
New pric<strong>in</strong>g methods with <strong>copulas</strong> 4-12