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 (Unpublished Doctoral thesis, City University London)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: | Bayes Business School > Finance Doctoral Theses Bayes Business School > Bayes Business School Doctoral Theses |
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