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bompaholm
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Joined: September 29th, 2003, 7:55 am

Where to find copulas formulas?

November 26th, 2003, 8:57 pm

Where can I find copulas formulas and their names for elliptic and archemedian copulas?
 
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ecki
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Where to find copulas formulas?

November 26th, 2003, 10:55 pm

Standard texts are the following:- Joe (1997): Multivariate Models and Dependence Concepts- Nelsen (1999): An Introduction to CopulasThere you'll find almost everything you need concerning copulas. However, not directly related to finance problems.hope this helps
 
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SPAAGG
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Where to find copulas formulas?

November 27th, 2003, 1:52 pm

 
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petersime
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Where to find copulas formulas?

April 26th, 2004, 10:12 am

Nelsen 1999 is out of print - per City Bookshop. Does anyone have a reference for a good introduction to Copulas?
 
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hazerider
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Where to find copulas formulas?

April 26th, 2004, 11:11 am

Look on the ETH faculty's websites, they have a bunch of stuff. Also, Genest, some Canadian professor, has some good material. Finally the Credit Lyonnais operational risk research group has great papers, including MLE for copulae.
 
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mrmelchi
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Where to find copulas formulas?

October 22nd, 2009, 11:20 am

I know this thread is outdated, but I think that these references can be useful still.Which Archimedean Copula is the right one?Published in October 2003 by www.YieldCurve.comThis paper presents the concept of copula from a practical standpoint. Given the widened use of the multinormal distribution, we argue its inadequacy, while advocate for using the copula as an alternative and better approach. We examine what the copulas are used for within of risk management. Then we expose a guide to choose both the margins and the Archimedean copula that better fit to data. In addition, we provide an algorithm to simulate random bivariate from Archimedean copula. In order to cover the gap between the theory and its practical implementation VBA codes are provided. They are used in a numerical example that illustrates the use of the copula in the pricing of a first-at-default contract. Two spreadsheets accompany to paper, by presenting step by step all practical applications covered.Tools for sampling Multivariate Archimedean CopulasPublished in April 2006 by www.YieldCurve.com A hurdle for practical implementation of any multivariate Archimedean copula was the absence of an efficient method for generating them. The most frequently used approach named conditional distribution one, involves differentiation step for each dimension of the problem. For this reason, it is not feasible in higher dimension. Marshall and Olkin proposed an alternative method, which is computationally more straightforward than the conditional distribution approach. We present the tools necessary for understand it and use it. We introduce the Laplace Transform and its role in the generation of multivariate Archimedean copulas. In order to cover the gap between the theory and its practical implementation VBA code and R one are provided.I hope this helps.Mario R. Melchiorihttp://mario.melchiori.googlepages.com/workingpapers