Related papers: Constructing Copulas Using Corrected Hermite Polyn…
Motivated by the increasing popularity and the seemingly broad applicability of pair-copula constructions underlined by numerous publications in the last decade, in this contribution we tackle the unavoidable question on how flexible and…
Improved bounds on the copula of a bivariate random vector are computed when partial information is available, such as the values of the copula on a given subset of $[0,1]^2$, or the value of a functional of the copula, monotone with…
We introduce a new family of copula densities constructed from univariate distributions on $[0,1]$. Although our construction is structurally simple, the resulting family is versatile: it includes both smooth and irregular examples, and…
The large-scale behavior of two-dimensional critical percolation is expected to be described by a conformal field theory (CFT). Moreover, this putative CFT is believed to be of the logarithmic type, exhibiting logarithmic corrections to the…
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, which comes at…
Conditional copulas are flexible statistical tools that couple joint conditional and marginal conditional distributions. In a linear regression setting with more than one covariate and two dependent outcomes, we propose the use of additive…
We describe here a new method to estimate copula measure. From N observations of two variables X and Y, we draw a huge number m of subsamples (size n<N), and we compute the joint ranks in these subsamples. Then, for each bivariate rank…
A new method for constructing absolutely continuous two--dimensional copulas by differential equations is presented. The copulas are symmetric with respect to reflection in the opposite diagonal. The support of the copula density may be…
Data often are formed of multiple modalities, which jointly describe the observed phenomena. Modeling the joint distribution of multimodal data requires larger expressive power to capture high-level concepts and provide better data…
Non-random sample selection is a commonplace amongst many empirical studies and it appears when an output variable of interest is available only for a restricted non-random sub-sample of data. We introduce an extension of the generalized…
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an…
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility…
This paper presents a probabilistic method for capturing non-monotonic behavior under the biphasic dose-response regime observed in many biological systems experiencing different types of stress. The proposed method is based on the…
For the analysis of clustered survival data, two different types of models that take the association into account, are commonly used: frailty models and copula models. Frailty models assume that conditional on a frailty term for each…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
Differential expansion (DE) for a Wilson loop average in representation $R$ is built to respect degenerations of representations for small groups. At the same time it behaves nicely under some changes of the loop, e.g. of some knots in the…
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the…
Inspired by decomposition problems in rule-based formalisms in Computational Systems Biology and recent work on compositionality in graph transformation, this paper proposes to use arbitrary colimits to "deconstruct" models of reactions in…
Explicit representations of densities for linear parabolic partial differential equations are useful in order to design computation schemes of high accuracy for a considerable class of diffusion models. Approximations of lower order based…
In this paper, we present the algorithm that alters the subset of marginals of multivariate standard distributed data into such modelled by an Archimedean copula. Proposed algorithm leaves a correlation matrix almost unchanged, but…