Time and Space Varying Copulas
Statistics Theory
2008-12-18 v1 Analysis of PDEs
Applications
Statistics Theory
Abstract
In this article we review existing literature on dynamic copulas and then propose an n-copula which varies in time and space. Our approach makes use of stochastic differential equations, and gives rise to a dynamic copula which is able to capture the dependence between multiple Markov diffusion processes. This model is suitable for pricing basket derivatives in finance and may also be applicable to other areas such as bioinformatics and environmental science.
Keywords
Cite
@article{arxiv.0812.3208,
title = {Time and Space Varying Copulas},
author = {Glenis Crane},
journal= {arXiv preprint arXiv:0812.3208},
year = {2008}
}