Gaussian Copula with Stochastic Loadings

SurferD · July 16th, 2004, 2:16 pm

Hi all,does anyone have experience with this?Regards,SurferD

piterbarg · July 17th, 2004, 6:59 pm

check this

SurferD · July 20th, 2004, 12:48 am

Thanks a lot for the help - do you have any experience with part 4 (Is there any other specification than the one proposed in part 4.1 leading to 'good' results?)?Thanks again,SurferD

piterbarg · July 20th, 2004, 5:17 am

I understand that there are many specifications other than in 4.1 that can recover market skew well. So the spec is by no means unique. But it is probably the simplest one that works