Search Results - subject:"Copula functions"

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Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Junker, Markus; Szimayer, Alexander; Wagner, Niklas - EconWPA - 2004

specifies the yield curve dynamics. We then apply a broad class of copula functions for modeling dependence in factors spanning …

Persistent link: https://www.econbiz.de/10005556362

Modelling Specific Interest Rate Risk with Estimation of Missing Data

Siegl, Thomas; Quell, Peter - In: Applied Mathematical Finance 12 (2004) 3, pp. 283-309

For the treatment of specific interest rate risk, a risk model is suggested, quantifying and combining both market and credit risk components consistently. The market risk model is based on credit spreads derived from traded bond prices. Though traded bond prices reveal a maximum amount of...

Persistent link: https://www.econbiz.de/10009279061

Bivariate option pricing with copulas

Cherubini, U.; Luciano, E. - In: Applied Mathematical Finance 9 (2002) 2, pp. 69-85

The adoption of copula functions is suggested in order to price bivariate contingent claims. Copulas enable the …

Persistent link: https://www.econbiz.de/10005462525

Multivariate Option Pricing with Copulas.

Cherubini, Umberto; Luciano, Elisa - International Centre for Economic Research (ICER) - 2002

In this paper we suggest the adoption of copula functions in order to price multivariate contingent claims. Copulas …

Persistent link: https://www.econbiz.de/10005577356