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 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

The purpose of this paper is to analyse different implications of the stochastic behavior of asset prices volatilities for option hedging purposes. We present a simple stochastic volatility model for option pricing and illustrate its consistency with financial stylized facts. Then, assuming a...

In this paper, we consider Hopscotch methods for solving two - state financial models. We first derive a solution algorithm for two - dimensional partial differential equations with mixed boundary conditions. We then consider a number of financial applications including stochastic volatility...

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 non-uniform grids to solve PDE. We derive the theta-scheme algorithm based on finite difference methods and show its consistency. We then apply it to different option pricing problems

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...