By Piotr Jaworski
Copulas are mathematical items that totally catch the dependence constitution between random variables and accordingly provide nice flexibility in development multivariate stochastic types. seeing that their advent within the early 50's, copulas have won huge recognition in different fields of utilized arithmetic, equivalent to finance, assurance and reliability idea. this present day, they symbolize a familiar device for marketplace and credits types, aggregation of hazards, portfolio choice, and so on. This publication is split into major components: half I - "Surveys" includes eleven chapters that offer an updated account of crucial features of copula versions. half II - "Contributions" collects the prolonged models of 6 talks chosen from papers awarded on the workshop in Warsaw.
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Additional info for Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
Cambridge University Press, Cambridge (1991) 200. : Measures of dependence derived from copulas. D. thesis, University of Massachusetts, Amherst (1977) 201. : n-dimensional measures of dependence. Stochastica 4(3), 175–188 (1980) Chapter 2 Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niew˛egłowski Abstract Modeling of stochastic dependence is crucial to pricing and hedging of basket derivatives, as well as to pricing and hedging of some other financial products, such as rating-triggered corporate step-up bonds.
67, pp. 1–12. Kluwer Academic Publishers, Dordrecht (1991) 32. , Salinetti, G. ): Advances in Probability Distributions with Given Marginals. Mathematics and Its Applications, vol. 67. Kluwer Academic Publishers, Dordrecht (1991) 33. : Copulas and Markov processes. Ill. J. Math. 36(4), 600–642 (1992) 34. : Orthogonal grid constructions of copulas. IEEE Trans. Fuzzy Syst. 15(6), 1053–1062 (2007) 35. : Asymmetric semilinear copulas. Kybernetika (Prague) 43(2), 221–233 (2007) 36. : Opposite diagonal sections of quasi-copulas and copulas.
Roy. Stat. Soc. Ser. B 44(3), 414–422 (1982) 159. : Copulas: concepts and novel applications. Metron 61(3), 323–353 (2004) (2003) 160. : Copula-based models for financial time series. , Mikosch, T. ) Handbook of Financial Time Series, pp. 767–785. Springer, New York, NY (2009) 161. : Discussion of: “Copulas: tales and facts” by T. Mikosch [Extremes 9 (2006), no. 1, 3–20]. Extremes 9(1), 49–50 (2006) 162. : Multivariate comonotonicity. J. Multivar. Anal. 101(1), 291–304 (2010) 163. : Some advances in the study of the compatibility of three bivariate copulas.
Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 by Piotr Jaworski