I used copula function to derive the conditional distribution. So the w(ST) looks like, say, w(DAX|EuroStoxx=-10%), where w is the conditional probability density function and -10% is the return of Eurostoxx.

Sort of. I have worked out the conditional distribution and have the final result. But it does not make much sense as it is conditional price rather than the real price. So I'd like to know if the whole procedure makes sense and how I can compare my result to the real price.

<t>HiSay I have derived the implied (risk neutral) distributions from, say, DAX and Eurostoxx options. Theoretically I can calculate the conditional distribution of DAX (conditional on Eurostoxx) using those implied distributions. Then calculate the conditional price of DAX call option using Cox and...

Hi StefanoneI would be much appreciated if you could email me your matlab code for t-copula. My email address is lanhuayu@hotmail.comKind regards

<t>Going back to CGumble1.85(0.91,0.958523)=0.90. This guarantees that we will always choose the points on the upper tail, where both u and v are close to 1. How about lower tail? Or other points that are unusual while one, either u or v, is usual? I am really confused about this 90% boundary issue....

<t>Thanks. Let's see if I get it correct - Assume Gumbel copula with theta 1.85, there is a 90% probability that v < 0.958523 conditional on u = 0.91. But why set u > C(u,v) = 0.91?If I want to build a contour plot for, say Gumbel copula, how can I do it? Correct me if I am wrong, but my original id...

Any idea how we define the boundary within which say 90% of the time the joint movement lies? Thanks.