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Some applications of copulae to finance

Bouye, E. (2003). Some applications of copulae to finance. (Unpublished Doctoral thesis, City University London)

Abstract

The aim of this thesis is to extend theory and to develop practical applications of copulae in finance. A copula is a dependence function that links random variables - expressed through their marginal distributions - to their joint or multivariate distribution.

Publication Type: Thesis (Doctoral)
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
Doctoral Theses
Doctoral Theses > Cass
URI: http://openaccess.city.ac.uk/id/eprint/8427
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