<t>Dear All:I want to plot the bivariate joint density of coupling the gaussian copula with student t margins, df=3, rho=0.2.I used the notion below to do it: f(x,y)=c(F(x), F(y))*f(x)*f(y)where c(F(x),F(y)) is gaussian copula density and f(x) and f(y) are student t marginal density.However, the out...

Me too. Please. my mail: swtzang@mail.nsysu.edu.twThanks.

Dear AlanS:I found the reference to the method 2. Nelson(1999), p105.Thanks.

<t>Dear All:I want to draw the density of Gaussian copula with student's t marginals. I use the matlab program in the following:p=zeros(num,num);for i = 1:num for j = 1:num x1(i) = tinv(u(i),v); x2(j)= tinv(u(j),v); tmp1=1/(2*pi*(1-R^2)^0.5); tmp2=(x1(i).^2-2*R.*x1(i).*x2(j)+x2(j).^2); p(i,j)=tmp1*e...

Thanks to AlanS. Method 1 works fine. However, I don't know about method 2. How to get the generator of the frank copula? Or any sources I can refer to? Thanks a lot.SWT

Dear all:How to derive the density of Frank copula, i.e. 2 variates? I know that the C(u,v)=-(1/a)*ln(1+(exp(-au)-1)(exp(-av)-1)/(exp(-a)-1)), what is its univariate density function? Thanks for help.SWT

Hello, may I have a copy of spreadsheet? Thanks.My mail: swtzang@mail.nsysu.edu.tw

<t>Dear all:I want to plot Gaussian copula density with T margins and its level curves using following matlab codes. However, I got different results from the book. Can anyone help me to fix the problem? Thanks for help. %p=zeros(99,2);u=0.01:0.01:0.99;rho=0.2;v=3;for i = 1:99 for j = 1:99 x1 = tinv...

Thanks for your advice. I will try myself.

Please send it to me too. Thanks for help. My mail is : swtzang@mail.nsysu.edu.twSWT

Hello Stefanone and all others:For a novice in CDO pricing, I badly need the MATLAB codes using copulas on credit risk analysis. Anything relevant to CDO pricing using copula is highly appreciated. Thanks to anyone helps me. SWT