Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.

Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems

In this paper, we consider 2D option pricing. Most of the problems come from the fact that only few closed-form formulas are available. Numerical algorithms are also necessary to compute option prices. This paper examines some topics on this subject

In this paper, we show that copulas are a very powerful tool for risk management since it fulfills one of its main goals: the modelling of dependence between the individual risks. That is why this approach is an open field for risk

In this paper, we address the problem of incorporating default dependency in intensity - based credit risk models. Following the works of Li [2000], Giesecke [2001] and Schonbucher and Schubert [2001], we use copulas to model the joint distribution of the default times. Two approaches are...

Copula functions have been introduced recently in finance. They are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. In this paper, we show that copula functions may be extensively used to solve many financial problems. As...

Strategies are often analyzed without confronting quantitatively the clients' views. They also may present an overfitting problem which is detrimental to the investor and the client. In this paper, we present a new quantitative framework that enables the clients and investors alike to test their...