Computation of copulas by Fourier methods
Probability
2014-06-24 v2 Computational Finance
Abstract
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a large class of models from mathematical finance, including L\'evy and affine processes. As an application, we compute the implied copula of the NIG L\'evy process which exhibits notable time-dependence.
Keywords
Cite
@article{arxiv.1108.1216,
title = {Computation of copulas by Fourier methods},
author = {Antonis Papapantoleon},
journal= {arXiv preprint arXiv:1108.1216},
year = {2014}
}
Comments
7 pages, 3 figures