Some applications of copulae to finance

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 (Unpublished Doctoral thesis, City University London)

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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.

Item Type: Thesis (Doctoral)
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/8427

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