Computation of copulas by Fourier methods
AbstractWe provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a large class of models from mathematical finance, including L\'evy and affine processes. As an application, we compute the implied copula of the NIG L\'evy process which exhibits notable time-dependence.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1108.1216.
Date of creation: Aug 2011
Date of revision: Jun 2014
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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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