<r>Peter Tankov <URL url="http://www.math.jussieu.fr/~tankov/">http://www.math.jussieu.fr/~tankov/</URL> has done work on Levy Copulas. As far as I understand this should help with one of the big problems of using copulas for basket option pricing - how to relate the copula of returns over one time ...

Is it possible to create user defined functions for excel using COM addins written in C++ I know you can't do it directly but can you get it right by wrapping them in VBA functions?Thanks

Is it possible to create user defined functions for excel using COM addins written in C++ I know you can't do it directly but can you get it right by wrapping them in VBA functions?Thanks

What books would make a list of the most important/influential classics both in quant finance, but also in finance and economics in general

<t>The problem with the approach of getting the implied risk neutral densities and then using monte carlo with a copula is that the densities are for returns over the life of the option, so we need to estimate the copula for the returns over this same time period. If its a 6 month option then we hav...

<t>If you want to get calculate the inverse cumulative from the same distribution a large number of times try using a rational chebychev approximation - there is code in numerical recipies in C. I think this is the method that Peter Acklam uses for the inverse cumulative of the normal so it should w...