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Copulas for Stochastic Volatility Models

Author

Listed:
  • Mauricio Contreras González

    (Departamento de Física y Astronomía, Universidad Andres Bello, Santiago 8370136, Chile)

  • Roberto Ortiz Herrera

    (Facultad de Ingeniería y Ciencias, Universidad Diego Portales, Santiago 8370191, Chile
    Facultad de Ciencias Económicas y Administrativas FACEA, Universidad Católica de la Santísima Concepción, Concepción 4070129, Chile)

  • Marcelo Villena

    (Departamento de Ingeniería Comercial, Universidad Federico Santa María, Santiago 7660251, Chile)

Abstract

In this article, a Fokker–Planck equation framework for the copula density associated with a two-dimensional stochastic differential equations system is developed. The different information pieces associated with the statistical interdependence properties and the marginal ones are separated explicitly, and the corresponding boundary conditions for the copula distribution are analyzed. Given the set of functions that defines the copula density dynamics and the marginal probability density functions, a Fokker-Planck equation for the multivariate density probability function of the stochastic volatility model is obtained.

Suggested Citation

  • Mauricio Contreras González & Roberto Ortiz Herrera & Marcelo Villena, 2026. "Copulas for Stochastic Volatility Models," Mathematics, MDPI, vol. 14(9), pages 1-24, April.
    • Handle: RePEc:gam:jmathe:v:14:y:2026:i:9:p:1470-:d:1929735
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