A problem that is very relevant in applications of copula functions to finance is the computation of the survival copula, which is applied to enforce multivariate put-call parity. This may be very complex for large dimensions. The problem is a special case of the more general problem of volume...

We propose a general treatment of random variables aggregation accounting for the dependence among variables and bounded or unbounded support of their sum. The approach is based on the extension to the concept of convolution to dependent variables, involving copula functions. We show that some...

This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992) [10]. The approach requires the definition of (i) a sequence of distribution functions of the increments of the process, and (ii) a...