Computing the volume of n-dimensional copulas

DOI10.1080/13504860802597311MaRDI QIDQ3652699zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Silvia Romagnoli

Publication date 16 December 2009

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860802597311

zbMATH Keywords

copula functionsmultivariate optionscopula volumecomputational pricing methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

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• An introduction to copulas.
• Hierarchies of Archimedean copulas

Cited in

(4)

• Computing the volume of a high-dimensional semi-unsupervised hierarchical copula
• scientific article; zbMATH DE number 7236423 (Why is no real title available?)
• A hierarchical copula-based world-wide valuation of sovereign risk
• Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises

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Uses Software

• QRM

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