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Copulas for Finance
Year Of Publication: 2000
Month Of Publication: July
Pages: 69
Download Count: 2216
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 2-5-2005
Publisher: Administrator
Summary
Copulas are a general tool to construct multivariate distributions and to investigate dependence structurebetween random variables. However, the concept of copula is not popular in Finance. In this paper, weshow that copulas can be extensively used to solve many financial problems.
Author(s)
Bouye, Eric Sign in to follow this author
Durrleman, Valdo Sign in to follow this author
Nikeghbali, Ashkan Sign in to follow this author
Riboulet, Gael Sign in to follow this author
Roncalli, Thierry Sign in to follow this author
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