Computation of copulas by Fourier methods

Details Computation of copulas by Fourier methods Computation of copulas by Fourier methods

2011-08-04

arxiv.org/abs/1108.1216v1

Mathematics

Probability

7 pages, 3 figures

Scientific paper

We provide an integral representation for (implied) copulas in terms of the
moment generating function of dependent random variables. The proof uses ideas
from Fourier methods for option pricing and can be applied to a large class of
models from mathematical finance, including L\'evy and affine processes.

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