The aim of this thesis is to extend theory and to develop practical applications of copulae in finance. A copula is a dependence function that links random variables - expressed through their marginal distributions - to their joint or multivariate distribution.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:410152 |
| Date | January 2003 |
| Creators | Bouyé, Eric |
| Publisher | City University London |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://openaccess.city.ac.uk/8427/ |
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