Risk Management, Option Pricing and Default Risk

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Sapphire Capital
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Risk Management, Option Pricing and Default Risk Oct 18, 2008 0:04:05 GMT 4

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Post by Sapphire Capital on Oct 18, 2008 0:04:05 GMT 4

Measuring the Dependence between Non-Gaussian Financial Assets Using Copulae: Risk Management, Option Pricing and Default Risk

Eric Bouyé
Société Générale AM - Alternative Investments; Financial Econometrics Research Center - Warwick Business School

Mark Salmon
University of Warwick - Warwick Business School

September 23, 2008

Abstract:
This paper aims to provide an introductory review of copulae and their potential application in finance.

papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1272345_code1109890.pdf?abstractid=1272345&mirid=1

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Risk Management, Option Pricing and Default Risk

Post by Sapphire Capital on Oct 18, 2008 0:04:05 GMT 4