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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6 References (Copulas and F<strong>in</strong>ance)<br />
[1] Bikos, A. [2000], Bivariate FX PDFs: a Sterl<strong>in</strong>g ERI application, Bank of England, Work<strong>in</strong>g<br />
Paper<br />
[2] Bouyé, E., V. Durrleman, A. Nikeghbali, G. Riboulet and T. Roncalli [2000], Copulas for<br />
f<strong>in</strong>ance — a read<strong>in</strong>g guide and some applications, Groupe de Recherche Opérationnelle, Crédit<br />
Lyonnais, Work<strong>in</strong>g Paper<br />
[3] Bouyé, E., V. Durrleman, A. Nikeghbali, G. Riboulet and T. Roncalli [2000], Copulas: an open<br />
field for risk management, Groupe de Recherche Opérationnelle, Crédit Lyonnais, Work<strong>in</strong>g<br />
Paper<br />
[4] Bouyé, E., N. Gaussel and M. Salmon [2000], Investigat<strong>in</strong>g dynamic <strong>dependence</strong> us<strong>in</strong>g copulae,<br />
F<strong>in</strong>ancial Econometric Research Centre, City University Bus<strong>in</strong>ess School, Work<strong>in</strong>g Paper<br />
[5] Ceske, R. and J.V. Hernández [1999], Where theory meets practice, Risk Magaz<strong>in</strong>e<br />
(Operational Risk Report), 12, November, 17-20<br />
[6] Ceske, R., J.V. Hernández and L.M. Sánchez [2000], Quantify<strong>in</strong>g event risk: the next<br />
convergence, The Journal of Risk F<strong>in</strong>ance, 1(3), 9-23<br />
[7] Cherub<strong>in</strong>i, U. and E. Luciano [2000], Multivariate option pric<strong>in</strong>g with <strong>copulas</strong>, University of<br />
Tur<strong>in</strong>, Work<strong>in</strong>g Paper<br />
[8] Cherub<strong>in</strong>i, U. and E. Luciano [2000], Value at risk trade-off and capital allocation with<br />
<strong>copulas</strong>, University of Tur<strong>in</strong>, Work<strong>in</strong>g Paper<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 />
References (Copulas and F<strong>in</strong>ance) 6-1
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