IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-25826-3_7.html
   My bibliography  Save this book chapter

Lévy Copulas: Review of Recent Results

In: The Fascination of Probability, Statistics and their Applications

Author

Listed:
  • Peter Tankov

    (Université Paris Diderot, Laboratoire de Probabilités Et Modèles Aléatoires
    National Research University Higher School of Economics, International Laboratory of Quantitative Finance)

Abstract

We review and extend the now considerable literature on Lévy copulas. First, we focus on Monte Carlo methods and present a new robust algorithm for the simulation of multidimensional Lévy processes with dependence given by a Lévy copula. Next, we review statistical estimation techniques in a parametric and a non-parametric setting. Finally, we discuss the interplay between Lévy copulas and multivariate regular variation and briefly review the applications of Lévy copulas in risk management. In particular, we provide a new easy-to-use sufficient condition for multivariate regular variation of Lévy measures in terms of their Lévy copulas.

Suggested Citation

  • Peter Tankov, 2016. "Lévy Copulas: Review of Recent Results," Springer Books, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart (ed.), The Fascination of Probability, Statistics and their Applications, pages 127-151, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-25826-3_7
    DOI: 10.1007/978-3-319-25826-3_7
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aleksandar Mijatovi'c & Romain Palfray, 2022. "A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives," Papers 2211.02528, arXiv.org.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-25826-3_7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.