Content
2011, Volume 11, Issue 8
- 1207-1220 Parisian exchange options
by An Chen & Michael Suchanecki - 1221-1231 Pricing barrier options by a regime switching model
by Pål Nicolai Henriksen - 1233-1244 Pricing of a reload employee stock option under severance risk
by Jun Ma - 1245-1269 An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility
by Minqiang Li & Kyuseok Lee - 1271-1271 Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
by Susanne Griebsch & Uwe Wystup
2011, Volume 11, Issue 7
- 967-978 The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis
by Yue-Jun Zhang & Yi-Ming Wei - 979-986 Semi-static hedging for certain Margrabe-type options with barriers
by Michael Schmutz - 987-988 How Big Banks Fail and What to Do about It, by Darrell Duffie
by Riccardo Rebonato - 991-1012 Econophysics review: I. Empirical facts
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 1013-1041 Econophysics review: II. Agent-based models
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 1043-1050 A computational view of market efficiency
by Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola - 1051-1066 On derivatives with illiquid underlying and market manipulation
by Ulrich Horst & Felix Naujokat - 1067-1080 When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
by Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario Mantegna - 1081-1090 Statistical rehabilitation of improper correlation matrices
by A. Frigessi & A. Løland & A. Pievatolo & F. Ruggeri - 1091-1102 Empirical properties of large covariance matrices
by Gilles Zumbach - 1103-1124 Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
by Zdzisław Burda & Andrzej Jarosz & Maciej Nowak & Jerzy Jurkiewicz & Gabor Papp & Ismail Zahed
2011, Volume 11, Issue 6
- 805-815 Volatile earnings growth, the price of earnings and the Value premium
by Jamie Alcock & Thomas Mollee & James Wood - 817-823 Fierce stock market fluctuation disrupts scalefree distribution
by Jing Liu & Chi Tse & Keqing He - 825-826 Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen
by Aaron Brown - 829-848 A profitable trading and risk management strategy despite transaction costs
by Ahmet Duran & Michael Bommarito - 849-861 Stock price dynamics: nonlinear trend, volume, volatility, resistance and money supply
by G. Caginalp & M. Desantis - 863-881 Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets
by Rafael Velasco-Fuentes & Wing Lon Ng - 883-899 A new microstructure noise index
by Mathieu Rosenbaum - 901-916 Probability of an incoming order signal
by Jorge Perez-Rodriguez - 917-932 Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
by Friedrich Hubalek & Petra Posedel - 933-946 An event study of price movements following realized jumps
by Hossein Asgharian & Mia Holmfeldt & Marcus Larson - 947-953 The January effect across volatility regimes
by Betty Agnani & Henry Aray - 955-965 Exploring the relationship between investor sentiment and price volatility
by Ann Shawing Yang & Ming-Lung Wu
2011, Volume 11, Issue 5
- 641-651 Provably linkable trading
by Chris Kenyon & Jan Camenisch - 653-661 Excess capital, operational disaster risk, and capital requirements for banks
by Mohamed Belhaj - 665-691 Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
by Alexander van Haastrecht & Antoon Pelsser - 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
by Susanne Griebsch & Uwe Wystup - 711-727 Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis
by Jan Maruhn & Morten Nalholm & Matthias Fengler - 729-748 Efficient and accurate quadratic approximation methods for pricing Asian strike options
by Chuang-Chang Chang & Chueh-Yung Tsao - 749-762 A comprehensive structural model for defaultable fixed-income bonds
by Rossella Agliardi - 763-773 Comparing alternative Levy base correlation models for pricing and hedging CDO tranches
by Viktoriya Masol & Wim Schoutens - 775-787 CDO pricing with nested Archimedean copulas
by Marius Hofert & Matthias Scherer - 789-803 Asymptotics of the probability of minimizing 'down-side' risk under partial information
by Hideo Nagai
2011, Volume 11, Issue 4
- 487-493 A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework
by Marianito Rodrigo & Rogemar Mamon - 547-558 Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
by Ferdinando Ametrano & Mark Joshi
2011, Volume 11, Issue 3
- 423-435 Evidence of herding and positive feedback trading for mutual funds in emerging Asian countries
by Meng-Fen Hsieh & Tzu-Yi Yang & Yu-Tai Yang & Jen-Sin Lee
2011, Volume 11, Issue 2
- 155-156 Benoit B. Mandelbrot (1924-2010): a father of Quantitative Finance
by M. A. H. Dempster - 157-158 The unsmooth trajectory of Benoit Mandelbrot
by J. Doyne Farmer - 159-160 Benoit Mandelbrot and the vindication of his ideas
by Alan Kirman - 161-161 Benoit Mandelbrot: a personal tribute
by Jean-Philippe Bouchaud - 163-172 Dicing with the market: randomized procedures for evaluation of mutual funds
by Francesco Lisi - 175-193 On the statistical and economic performance of stock return predictive regression models: an international perspective
by Pierre Giot & Mikael Petitjean - 195-217 Further international evidence on durable consumption growth and long-run consumption risk
by Elena Marquez & Belen Nieto - 219-227 Common and local asymmetry and day-of-the-week effects among EU equity markets
by Kenneth Hogholm & Johan Knif & Seppo Pynnonen - 229-235 Shared information in the stock market
by Rosario Bartiromo - 237-245 Spatial linkages in international financial markets
by Viviana Fernandez - 247-259 Does corporate governance matter for stock returns? Estimating a four-factor asset pricing model including a governance index
by Andre Carvalhal & Carolina Nobili - 261-269 What drives stock markets over short horizons? Evidence from emerging markets
by Paresh Kumar Narayan - 271-285 Asymmetry in return reversals or asymmetry in volatilities?—New evidence from new markets
by Ping Wang & Peijie Wang - 287-297 How rewarding is technical analysis in the Indian stock market?
by Subrata Kumar Mitra - 299-312 Liberalisation and stock market co-movement between emerging economies
by Michel Beine & Bertrand Candelon - 313-326 Detection of momentum effects using an index out-performance strategy
by N. Meade & J. E. Beasley
2011, Volume 11, Issue 1
- 1-20 Coherent global market simulations and securitization measures for counterparty credit risk
by Claudio Albanese & Toufik Bellaj & Guillaume Gimonet & Giacomo Pietronero - 21-29 The Fields Institute: thematic program on Quantitative Finance: foundations and applications - January to June, 2010
by Matheus Grasselli & Thomas Hurd - 33-52 A PDE approach to jump-diffusions
by Peter Carr & Laurent Cousot - 53-67 Optimal hedge fund portfolios under liquidation risk
by R. Gibson Brandon & S. Gyger - 69-80 Dynamic liquidation under market impact
by Thangaraj Draviam & Thomas Coleman & Yuying Li - 81-99 The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
by Martin Haugh & Ashish Jain - 101-113 Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models
by Gilles Zumbach - 115-123 The premium of dynamic trading
by Chun Hung Chiu & Xun Yu Zhou - 125-134 Multivariate asset price dynamics with stochastic covariation
by Julian Williams & Christos Ioannidis - 135-154 Modeling default risk with support vector machines
by Shiyi Chen & W. K. Hardle & R. A. Moro
October 2010, Volume 13, Issue 5
- 729-738 Buyer's quantile hedge portfolios in discrete-time trading
by Mustafa Ç. Pinar
2010, Volume 11, Issue 4
- 495-504 On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves
by A. Falco & LL. Navarro & J. Nave - 505-513 Multifractal analysis of the dollar-yuan and euro-yuan exchange rates before and after the reform of the peg
by Francois Schmitt & Li Ma & Thierry Angounou - 517-528 Weak and strong Taylor methods for numerical solutions of stochastic differential equations
by Maria Siopacha & Josef Teichmann - 529-546 A jump-diffusion Libor model and its robust calibration
by Denis Belomestny & John Schoenmakers - 559-572 Interest rate models on Lie groups
by F. C. Park & C. M. Chun & C. W. Han & N. Webber - 573-586 Term structure of volatilities and yield curve estimation methodology
by Antonio Diaz & Francisco Jareno & Eliseo Navarro - 599-614 Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
by J. B. Glattfelder & A. Dupuis & R. B. Olsen - 615-629 Higher order and recurrent neural architectures for trading the EUR/USD exchange rate
by Christian Dunis & Jason Laws & Georgios Sermpinis - 631-640 Optimal investment in the foreign exchange market with proportional transaction costs
by Luitgard Veraart
2010, Volume 11, Issue 3
- 327-333 Tail dependence and skew distributions
by Thomas Fung & Eugene Seneta - 343-348 Some integral functionals of reflected SDEs and their applications in finance
by Lijun Bo & Yongjin Wang & Xuewei Yang - 351-364 Identifying small mean-reverting portfolios
by Alexandre D'Aspremont - 365-380 A stochastic differential game for optimal investment of an insurer with regime switching
by Robert Elliott & Tak Kuen Siu - 381-389 An improved convolution algorithm for discretely sampled Asian options
by Ales Cerny & Ioannis Kyriakou - 391-405 Moody's correlated binomial default distributions for inhomogeneous portfolios
by S. Mori & K. Kitsukawa & M. Hisakado - 407-421 Dynamic copula models for the spark spread
by Fred Espen Benth & Paul Kettler - 437-446 Directional entropy and tail uncertainty, with applications to financial hazard
by Roger Bowden - 447-457 The impact of transaction duration, volume and direction on price dynamics and volatility
by Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka - 459-475 Hidden Markov models with t components. Increased persistence and other aspects
by Jan Bulla - 477-485 Futures and futures options with basis risk: theoretical and empirical perspectives
by Chou-Wen Wang & Ting-Yi Wu
2010, Volume 10, Issue 10
- 1091-1097 Central limits and financial risk
by Angelo Barbieri & Vladislav Dubikovsky & Alexei Gladkevich & Lisa Goldberg & Michael Hayes - 1099-1107 An empirical study of liquidity dynamics and resistance and support levels
by Carla Gomes & Henri Waelbroeck - 1109-1112 On the stickiness property
by Erhan Bayraktar & Hasanjan Sayit - 1115-1136 A class of Levy process models with almost exact calibration to both barrier and vanilla FX options
by Peter Carr & John Crosby - 1137-1151 Up and down credit risk
by Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc - 1153-1162 Approximation of aggregate and extremal losses within the very heavy tails framework
by Ivan Mitov & Svetlozar Rachev & Frank Fabozzi - 1163-1172 Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
by Lihua Bai & Junyi Guo & Huayue Zhang - 1173-1185 High-dimensional covariance forecasting for short intra-day horizons
by Roel Oomen - 1187-1201 Econometric analysis of microscopic simulation models
by Youwei Li & Bas Donkers & Bertrand Melenberg - 1203-1213 The risk-shifting effect and the value of a warrant
by Emanuele Bajo & Massimiliano Barbi - 1215-1224 The impact of the choice of VaR models on the level of regulatory capital according to Basel II
by Oliver Hermsen
2010, Volume 10, Issue 9
- 947-952 Time to default and other sensitivities of credit ratings
by Dror Parnes - 953-956 The Geneva Finance Research Institute
by Miret Padovani - 957-960 On the first passage time distribution of an Ornstein-Uhlenbeck process
by Chuang Yi - 963-974 Electricity spot price modelling with a view towards extreme spike risk
by Claudia Kluppelberg & Thilo Meyer-Brandis & Andrea Schmidt - 975-994 Pricing swing options in the electricity markets under regime-switching uncertainty
by M. I. M. Wahab & Z. Yin & N. C. P. Edirisinghe - 995-1007 How to speed up the quantization tree algorithm with an application to swing options
by Anne Laure Bronstein & Gilles Pages & Benedikt Wilbertz - 1009-1022 Loss aversion and the price of risk
by M. Levy - 1023-1037 Dynamic complex hedging in additive markets
by Jose Corcuera & Joao Guerra - 1039-1054 The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management
by Xiaolin Luo & Pavel Shevchenko - 1055-1066 Predicting bankruptcy using the discrete-time semiparametric hazard model
by K. F. Cheng & C. K. Chu & Ruey-Ching Hwang - 1067-1076 Predictability of nonlinear trading rules in the U.S. stock market
by Terence Tai-Leung Chong & Tau-Hing Lam - 1077-1090 Regression-based algorithms for life insurance contracts with surrender guarantees
by Anna Rita Bacinello & Enrico Biffis & Pietro Millossovich
2010, Volume 10, Issue 8
- 809-817 Pricing the credit default swap rate for jump diffusion default intensity processes
by Yong-Ki Ma & Jeong-Hoon Kim - 819-827 Static-arbitrage lower bounds on the prices of basket options via linear programming
by Javier Pena & Juan Vera & Luis Zuluaga - 831-854 Markov models for commodity futures: theory and practice
by Leif Andersen - 855-869 Multivariate models for operational risk
by Klaus Bocker & Claudia Kluppelberg - 871-882 (Non-)robustness of maximum likelihood estimators for operational risk severity distributions
by Sonja Huber - 883-893 Do financial returns have finite or infinite variance? A paradox and an explanation
by Michael Grabchak & Gennady Samorodnitsky - 895-915 Asymmetry of information flow between volatilities across time scales
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher - 917-930 Wavelet decomposition for intra-day volume dynamics
by Jaisimha Manchaldore & Imon Palit & Oleg Soloviev - 931-945 Portfolio selection based on the mean-VaR efficient frontier
by Chueh-Yung Tsao
2010, Volume 10, Issue 7
- 681-687 Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria
by Leonard Maclean & Edward Thorp & William Ziemba - 689-697 Analysis of Kelly-optimal portfolios
by Paolo Laureti & Matus Medo & Yi-Cheng Zhang - 701-733 A stochastic-difference-equation model for hedge-fund returns
by Emanuel Derman & Kun Soo Park & Ward Whitt - 735-748 Leveraged Levy processes as models for stock prices
by Dilip Madan & Yue Xiao - 749-759 No-dynamic-arbitrage and market impact
by Jim Gatheral - 761-782 Statistical arbitrage in the US equities market
by Marco Avellaneda & Jeong-Hyun Lee - 783-796 Multi-scale variation, path risk and long-term portfolio management
by Roger Bowden & Jennifer Zhu - 797-807 Identifying common dynamic features in stock returns
by Jorge Caiado & Nuno Crato
2010, Volume 10, Issue 6
- 565-574 Measuring investment performance consistency
by Michael Villaverde - 575-583 Can expected shortfall and Value-at-Risk be used to statically hedge options?
by Jonathan Wylie & Qiang Zhang & Tak Kuen Siu - 585-589 Explicit expressions for moments of Pareto order statistics
by Saralees Nadarajah - 593-606 Robustness and sensitivity analysis of risk measurement procedures
by Rama Cont & Romain Deguest & Giacomo Scandolo - 607-615 Pricing and hedging basket options to prespecified levels of acceptability
by Dilip Madan - 617-627 Portfolio sensitivity to changes in the maximum and the maximum drawdown
by Libor Pospisil & Jan Vecer - 629-644 A transform approach to compute prices and Greeks of barrier options driven by a class of Levy processes
by Marc Jeannin & Martijn Pistorius - 645-662 Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
by Keiichi Tanaka & Takeshi Yamada & Toshiaki Watanabe - 663-679 Generalized uncorrelated SABR models with a high degree of symmetry
by Tai-Ho Wang & Peter Laurence & Sheng-Li Wang
2010, Volume 10, Issue 5
- 455-460 Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds
by Melanie Frick & Annabelle Kehl - 461-466 Stochastic resonance and the trade arrival rate of stocks
by A. Christian Silva & Ju-Yi Yen - 469-485 Portfolio selection with higher moments
by Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller - 487-493 No-transaction bounds and estimation risk
by Vasyl Golosnoy - 495-502 Exact properties of measures of optimal investment for benchmarked portfolios
by J. Knight & S. E. Satchell - 503-514 Optimization of N-risky asset portfolios with stochastic variance and transaction costs
by C. Atkinson & P. Ingpochai - 515-528 Financial literacy and portfolio diversification
by Margarida Abreu & Victor Mendes - 529-543 Risk and predictability of Singapore's private residential market
by Qin Xiao & Weihong Huang - 545-554 Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities
by Christopher Hessel & Jun Wang - 555-564 An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms
by Christoph Woster
2010, Volume 10, Issue 4
- 339-347 A principal-component approach to measuring investor sentiment
by Haiqiang Chen & Terence Tai-Leung Chong & Xin Duan - 349-355 Asymmetric dividend smoothing in the aggregate stock market
by Sokwon Kim & Byeongseon Seo - 359-374 Valuation of energy storage: an optimal switching approach
by Rene Carmona & Michael Ludkovski - 375-387 Robust estimation with flexible parametric distributions: estimation of utility stock betas
by James Mcdonald & Richard Michelfelder & Panayiotis Theodossiou - 389-399 International trade and financial integration: a weighted network analysis
by Stefano Schiavo & Javier Reyes & Giorgio Fagiolo - 401-420 Automated trading with boosting and expert weighting
by German Creamer & Yoav Freund - 421-430 Change analysis of a dynamic copula for measuring dependence in multivariate financial data
by D. Guegan & J. Zhang - 431-442 Volatility conditional on price trends
by Gilles Zumbach - 443-453 Portfolio allocation and the investment horizon: a multiscaling approach
by Sangbae Kim & Francis In
2010, Volume 10, Issue 3
- 235-240 A risk-based evaluation of the free-trader option
by Ren-Raw Chen & Frank Fabozzi - 241-245 The new 'brew' on the Liffey: How FMC2 is adding the yeast
by Anthony Brabazon - 249-263 Single and joint default in a structural model with purely discontinuous asset prices
by Filippo Fiorani & Elisa Luciano & Patrizia Semeraro - 265-277 Pricing a CDO on stochastically correlated underlyings
by Marcos Escobar & Barbara Gotz & Luis Seco & Rudi Zagst - 279-293 Pricing inflation-linked bonds
by Paolo Falbo & Francesco Paris & Cristian Pelizzari - 295-304 Hierarchies of Archimedean copulas
by Cornelia Savu & Mark Trede - 305-324 Multi-asset spread option pricing and hedging
by Minqiang Li & Jieyun Zhou & Shi-Jie Deng - 325-338 Asset allocation using flexible dynamic correlation models with regime switching
by Edoardo Otranto
2010, Volume 10, Issue 2
- 121-130 Queueing theoretical analysis of foreign currency exchange rates
by Jun-Ichi Inoue & Naoya Sazuka - 131-140 Does size matter? A genetic programming approach to technical trading
by Janice How & Martin Ling & Peter Verhoeven - 143-157 Optimal execution strategies in limit order books with general shape functions
by Aurelien Alfonsi & Antje Fruth & Alexander Schied - 159-176 Implications of a regime-switching model on natural gas storage valuation and optimal operation
by Zhuliang Chen & Peter Forsyth - 177-194 A comparison of biased simulation schemes for stochastic volatility models
by Roger Lord & Remmert Koekkoek & Dick Van Dijk - 195-208 Utility valuation of multi-name credit derivatives and application to CDOs
by Ronnie Sircar & Thaleia Zariphopoulou - 209-219 Cash management using multi-stage stochastic programming
by Robert Ferstl & Alex Weissensteiner - 221-234 Analysis of the rebalancing frequency in log-optimal portfolio selection
by Daniel Kuhn & David Luenberger
2010, Volume 10, Issue 1
- 1-12 Stop-losses, maximum drawdown-at-risk and replicating financial time series with the stationary bootstrap
by Jessica James & Louis Yang - 13-20 Some applications of M-ary detection in quantitative finance
by W. P. Malcolm & R. J. Elliott - 23-37 Real-world jump-diffusion term structure models
by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen - 39-47 Well-posedness and invariant measures for HJM models with deterministic volatility and Levy noise
by Carlo Marinelli - 49-58 Pricing a defaultable bond with a stochastic recovery rate
by Shu-Ling Chiang & Ming-Shann Tsai - 59-74 On the analytical-numerical valuation of the Bermudan and American options
by Andras Prekopa & Tam�s Sz�ntai - 75-90 A Levy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing
by Anders Eriksson - 91-105 Portfolio optimization for student t and skewed t returns
by Wenbo Hu & Alec Kercheval - 107-119 Power mapping with dynamical adjustment for improved portfolio optimization
by Rudi Schafer & Nils Fredrik Nilsson & Thomas Guhr
2009, Volume 11, Issue 4
- 587-597 A hybrid Markov-Functional model with simultaneous calibration to the interest rate and FX smile
by Christian Fries & Fabian Eckstaedt
2009, Volume 11, Issue 3
- 335-341 On the perpetual American put options for level dependent volatility models with jumps
by Erhan Bayraktar
2009, Volume 9, Issue 8
- 887-895 Equity portfolio risk estimation using market information and sentiment
by Leela Mitra & Gautam Mitra & Dan Dibartolomeo - 897-909 The news of no news in stock markets
by Oral Erdogan & Ari Yezegel - 913-924 Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter
by George Woodward & Heather Anderson - 925-935 MaxVaR for non-normal and heteroskedastic returns
by Malay Bhattacharyya & Nityanand Misra & Bharat Kodase - 937-949 Modelling spikes and pricing swing options in electricity markets
by Ben Hambly & Sam Howison & Tino Kluge - 951-959 On the valuation of compositions in Levy term structure models
by Wolfgang Kluge & Antonis Papapantoleon - 961-965 An axiomatic characterization of capital allocations of coherent risk measures
by Michael Kalkbrener - 967-979 Investment decisions, net present value and bounded rationality
by Carlo Alberto Magni
2009, Volume 9, Issue 7
- 767-773 Capital requirements, acceptable risks and profits
by Dilip Madan - 775-790 The causes of the credit crunch: a backwards look?
by David Murphy - 793-802 The Epps effect revisited
by Bence Toth & Janos Kertesz - 803-817 Pricing and capital requirements for with profit contracts: modelling considerations
by Laura Ballotta - 819-825 Valuing qualitative options with stochastic volatility
by Bong-Gyu Jang & Kum-Hwan Roh - 827-838 Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
by Tian-Shyr Dai - 839-854 An empirical analysis of multivariate copula models
by Matthias Fischer & Christian Kock & Stephan Schluter & Florian Weigert