MASTERCLASS: Defining copulas - Copulas--a function for creating a joint probability distribution for two or more marginal distributions-- have become part of the derivatives pricing mainstream. This article gives a brief explanation of Gaussian, Student-t and multivariate copulas.
| Year of publication: |
2006
|
|---|---|
| Authors: | Hull, John |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 10, p. 62-65
|