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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1108.1216.
Date of creation: Aug 2011
Date of revision:
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-15 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Elisa Luciano & Patrizia Semeraro, 2008.
"A Generalized Normal Mean Variance Mixture for Return Processes in Finance,"
Carlo Alberto Notebooks
97, Collegio Carlo Alberto, revised 2009.
- Elisa Luciano & Patrizia Semeraro, 2010. "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 415-440.
- Reiichiro Kawai, 2009. "A multivariate Levy process model with linear correlation," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 597-606.
- Elisa Luciano & Wim Schoutens, 2006.
"A Multivariate Jump-Driven Financial Asset Model,"
Carlo Alberto Notebooks
29, Collegio Carlo Alberto.
- Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2010. "Analysis of Fourier Transform Valuation Formulas and Applications," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(3), pages 211-240.
- Christa Cuchiero & Damir Filipovi\'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
- Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.