Searching for "Editorial to the special issue devoted to "Copulas, measures and integrals"." – sorted by Relevance.
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Sampling from archimedean copulas
- … first analyse the distribution of the copula itself, deriving a number of integral representations and a…
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Gaussian copula approximations and their applications
- … can always link the two copulas via a line integral in ”correlation space” C(ū; ρA) = �ρA ρGB ∇ρ…
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Strong Approximation of Copulas
- … doubly stochastic measures and Markov operators, are ultimately related to copulas. A doubly stochastic…
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Vulnerable from Copulas ∗
- … the digital option above the strike, K, the integral of digital counterpart risk, represented by copula…
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The t copula and related copulas
- … The t copula and its properties are described with a focus on issues related to the dependence of extreme…
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Copula Based Monte Carlo Integration in Financial Problems ∗
- …Copula Based Monte Carlo Integration in Financial Problems ∗ Alessio Sancetta Department…
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Pricing Swap Credit Risk with Copulas
- …Pricing Swap Credit Risk with Copulas Umberto Cherubini ∗ University of Bologna January 6, 2004…
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Continuous Scaling On A Bivariate Copula
- …CONTINUOUS SCALING ON A BIVARIATE COPULA C. M. CUADRAS AND J. FORTIANA Departament d…
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Misspecified Copulas in Credit Risk Models:
- … d t Nt in the portfolio can be given. In the T copula model one obtains the two-dimensional integral…
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Using Copulae to bound the Value-at-Risk
- … emphasis is put on Value-at-Risk as a risk measure. Key words: comonotonicity, copula, dependent risks…
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