<t>Schonbucher developped a paper about pricing multinames credit derivatives such FTD and CDO's.Copula function are also been used by Li(2000) to price nth-to-default products.Schonbucher interpreted the choice of copula as choice of chock function of an issuer if another default...My question is :...

Yes, you can find in the market callable CDS that contain implicitly bermudan options. But this market is still in it's infancy because of enormous transaction costs and enormous volatility of CDS premiums ( sometimes it exceed 150% ! )

I want to generate a multivaiate random vector from Gumbel-Hougaard copula. as it showen in the paper (Attached file - page 12) in the case of Gumbel-Hougaard copula, i have to generate a positive alpha stable random variable at first..

Do you know how we can simulate a Gumbel-Hougaard copula ?I think that i need to simulate a positive alpha stable variable, do you have any references about this ?Thks

I forgot to specify that I need it to simulate the Gumbel-Hougaard copula thks

Do you know how to simulate a positive alpha stable lawCheers