Computation of Copulas by Fourier Methods

被引：1
|
作者：
Papapantoleon, Antonis [1 ]
机构：
[1] Tech Univ Berlin, Inst Math, D-10623 Berlin, Germany
来源：
INNOVATIONS IN QUANTITATIVE RISK MANAGEMENT | 2015年 / 99卷
关键词：
AFFINE PROCESSES; LEVY PROCESSES; TRANSFORM; MODEL;
D O I：
10.1007/978-3-319-09114-3_20
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a large class of models from mathematical finance, including Levy and affine processes. As an application, we compute the implied copula of the NIG Levy process which exhibits notable time-dependence.
引用
收藏
页码：347 / 354
页数：8
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