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tw
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Joined: May 10th, 2002, 3:30 pm

Copula books

July 13th, 2002, 5:37 pm

Does anyone out there have any recommendations forbooks about Copulas?A trawl of amazon came up with http://www.amazon.co.uk/exec/obidos/ASI ... 7070829Has anyone read this? Any good? My fundamental stats library is a bit weak!Many thanks for any pointers,Tom
 
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MaTT
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Joined: February 5th, 2002, 9:35 am

Copula books

July 16th, 2002, 5:19 am

Take a look at gro.creditlyonnais.fr - a lot of papers about copulas, you can also search www.math.ethz.ch/finance personal pages.There's also a book by Harry Joe "Multivariate Models & Dependence Concepts". If you'd like to know more you have to read working papers because the only (almost only) books are by R.Nelsen and H.JoeBest Regards ,MaTT
 
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spursfan
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Joined: October 7th, 2001, 3:43 pm

Copula books

July 16th, 2002, 8:59 am

there some material on copulas in peter jaeckel's monte carlo book
 
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JabairuStork
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Joined: February 27th, 2002, 12:45 pm

Copula books

July 19th, 2002, 5:59 pm

The texts by Nelsen and Joe are very useful if you intend to do a lot of work with copula functions. Beyond that, it is mostly journal articles and working papers. There may be more information in non-finance texts, like life sciences or something, but in finance it's only recently that people have started paying attention to the copula.Be careful about using journal articles and working papers as references for specific forms. I have found numerous errors. Nelsen's book even has a few errors in it.
 
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fire
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Joined: July 10th, 2003, 10:11 pm

Copula books

July 22nd, 2003, 2:00 pm

I would think that there is also a good introduction in one of RiskLab papers. This starts from defining a copula to programming for it. U need to become a member but then, membership is free.
 
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J
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Joined: November 1st, 2001, 12:53 am

Copula books

July 22nd, 2003, 3:55 pm

QuoteOriginally posted by: fireI would think that there is also a good introduction in one of RiskLab papers. This starts from defining a copula to programming for it. U need to become a member but then, membership is free.would you please tell me the title of paper you refered to and its URL?
 
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MaTT
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Joined: February 5th, 2002, 9:35 am

Copula books

July 23rd, 2003, 4:59 am

Hi,Modelling Dependence with Copulas and Applications to Risk ManagementRegards,MaTT
 
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Stefanone
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Joined: August 28th, 2002, 3:57 pm

Copula books

July 26th, 2003, 9:24 am

There's also a book called "Correlation and Dependence" from Kotz et al. I don't like particularly this book, but it could be a useful reference..I think Joe's book is the best one on the market...Paper from Embrecht and co. and Bouye are great..have a look at a great paper from Mashal&Zeevi for calibration issues..rgds,S.
 
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exotiq
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Joined: October 13th, 2003, 3:45 pm

Copula books

November 6th, 2003, 12:30 am

I know it won't be released until Feb 2004, but does anyone here know anything (say as an editor, reader, or you're his student and happened to have a copy) of Giovanni Cherubini's "Copula Methods in Finance"?
 
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fire
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Joined: July 10th, 2003, 10:11 pm

Copula books

December 31st, 2003, 2:23 pm

I guess I am pretty late to mention this but thanks for taking my back and sending the link to J, maTT. Appreciate it.Also, I am presently reading Advances in probability distributions with given marginals - Dall'aglio Kotz salinetti. It has a good collection of papers and includes the developmental history of copulas (a good read)