Copula Based Monte Carlo Integration in Financial Problems
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- Alessio Sancetta, 2004. "Copula Based Monte Carlo Integration in Financial Problems," Working Papers wp04-02, Warwick Business School, Finance Group.
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More about this item
KeywordsCopula; Martingale; Monte Carlo Integral; Quantile Transform; Utility Function.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-01 (All new papers)
- NEP-CMP-2005-02-01 (Computational Economics)
- NEP-ECM-2005-02-01 (Econometrics)
- NEP-FIN-2005-02-01 (Finance)
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