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Copulæ: Some mathematical aspects

✍ Scribed by Carlo Sempi

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
167 KB
Volume
27
Category
Article
ISSN
1524-1904

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✦ Synopsis

Abstract

This paper starts with a few critical considerations about the use of copulas in applications, mainly in the field of Mathematical Finance. Two points will be stressed: (i) the construction of asymmetric copulas and (ii) the construction of multivariate copulas. Also, it briefly touches on the long‐standing problem of compatibility. Copyright © 2010 John Wiley & Sons, Ltd.

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