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vijarkohli
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Joined: January 19th, 2010, 4:20 am

What are copulas and how are they used in quantitative finance?

June 23rd, 2010, 5:11 pm

Could i get a copy of the spreadsheet too? My email address is [email protected]. Thank you
 
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Kennylam
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Joined: October 26th, 2010, 3:24 am

What are copulas and how are they used in quantitative finance?

November 4th, 2010, 2:56 am

Could you also send me your spreadsheets on copulas,please? My email is [email protected] and Many Thanks
 
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newbie73
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Joined: March 28th, 2007, 10:24 pm

What are copulas and how are they used in quantitative finance?

November 7th, 2010, 2:11 pm

I'd like the spreadsheets too please - [email protected]!P.S. Wilmott should have a files repository for things like this, or a way to upload a file to a thread!
 
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Jalaltarin
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Joined: December 8th, 2010, 8:15 pm

What are copulas and how are they used in quantitative finance?

December 9th, 2010, 9:03 pm

Hi, this is my first post. First and foremost, I would like to thank the staff for allowing me to create this account. This website looks extremely helpful.I am completely new to Quant Finance and am a Masters Student. I was just wondering if anyone could guide me on the subject of Copulas. I have to model a portfolio consisting of 5 shares in excel. What is the best way to approach this problem? I do apologize if this is the wrong place to post.Thank you for your patience.
 
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mrmelchi
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Joined: July 14th, 2002, 3:00 am

What are copulas and how are they used in quantitative finance?

December 13th, 2010, 1:46 pm

Dear Jalaltarin:I've written this before but I think that it can be useful for you.Which Archimedean Copula is the right one?This 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 CopulasA 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.The codes sheets are available from the author on request.I hope this helps. Mario R. [email protected]
Last edited by mrmelchi on December 12th, 2010, 11:00 pm, edited 1 time in total.
 
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Jalaltarin
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What are copulas and how are they used in quantitative finance?

December 17th, 2010, 6:45 pm

Thankyou very much for your help sir.
 
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carlosroa87
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Location: Colombia

What are copulas and how are they used in quantitative finance?

June 10th, 2011, 1:43 pm

Hi! I am currently working in my Thesis. I am measuring the efficency of portfolios in emerging markets. I am trying to use copulas, i am starting to use matlab for this but I found this forum and would like to know if you could send me the spredsheet. Thanks a lot! [email protected]. Any other info in how to program copulas is very well recieved
 
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Whamp
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Joined: August 5th, 2011, 1:44 pm

What are copulas and how are they used in quantitative finance?

August 8th, 2011, 1:53 pm

Hello Mr Melchi,Sorry to pile on, but could you email me the referred to spreadsheets?Thank you so much for all your help. I know I really appreciate your guidance. [email protected]
 
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olivesun
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Joined: June 14th, 2011, 12:14 am

What are copulas and how are they used in quantitative finance?

August 25th, 2011, 9:07 am

May i have the spreadsheet on copula too? thanks very much!!! my email address: [email protected]
Last edited by olivesun on August 24th, 2011, 10:00 pm, edited 1 time in total.
 
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JoanneLiew
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Joined: October 31st, 2011, 11:28 am

What are copulas and how are they used in quantitative finance?

October 31st, 2011, 1:28 pm

Hi, may I get a copy as well? My email is [email protected] you!!!
 
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JoanneLiew
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Joined: October 31st, 2011, 11:28 am

What are copulas and how are they used in quantitative finance?

October 31st, 2011, 1:40 pm

Hi Ferreira,I am an undergraduate who is working on a project about the application of Copulas in the financial industry. I happen to come across your article, New Tools for spread trading, that is published on Futures. Would it be possible for you to email me your spreadsheet/any further details with regard to the article? My email is [email protected]!(:
Last edited by JoanneLiew on October 30th, 2011, 11:00 pm, edited 1 time in total.