Computation of copulas by Fourier methods
AbstractWe provide an integral representation for (implied) copulas in terms of the moment generating function of dependent random variables. The proof uses ideas from Fourier methods for option pricing and can be applied to a large class of models from mathematical finance, including L\'evy and affine processes.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1108.1216.
Date of creation: Aug 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-15 (All new papers)
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