[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … op meervoudige bates.Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levycopulas laat toe … van meerveranderlike Levy prosessemet behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige …

This dissertation contains three essays. They are related to the exponential seriesestimation of copulas and the … application of parametric copulas in financialeconometrics. Chapter II proposes a multivariate exponential series estimator (ESE …

is based on the correlations between the obligors using copulas. Using this probability of default, the price of a … can be observed how a downturn in the economy could affect CDOs. This thesis extends on the use of copulas to simulate the … correlation between obligors. Copulas allow for the creation of one joint distribution using a set of independent distributions …

The increase in the use of copulas has introduced implementation issues for both practitioners and researchers. One of …) methods. Archimedean copulas are one of the most important classes of copulas that are widely used in both finance and … insurance for modelling dependent risks. However, simulating multivariate Archimedean copulas has always been a difficult task …

framework based on copulas for modeling dependent multivariate uncertainties through the use of a decision tree. The proposed …

[40]. Levy copulas allow us to separate the dependence structure from the behavior ofthe marginal components. We consider … op meervoudige bates.Ons gebruik die nuwe konsep van Levy copulas, wat deur Tankov[40] ingelei is. Levycopulas laat toe … van meerveranderlike Levy prosessemet behulp van Levy copulas. Daarna bepaal ons die pryse van opsies op meervoudige …