Financial Modelling with Copula Functions
90 Pages Posted: 21 Dec 2010
Date Written: December 17, 2010
Abstract
This set of lecture notes was developed from my ‘Copula Finance’ spring lectures for the Thammasat University’s Master in Finance International Program (MIF).
Keywords: Copula, Gaussian copula, Gaussian Slug Copula, Dependency Structure, Quantitative Finance, Lecture Notes
JEL Classification: C00, C14, C19
Suggested Citation: Suggested Citation
Nacaskul, Poomjai, Financial Modelling with Copula Functions (December 17, 2010). Available at SSRN: https://ssrn.com/abstract=1726313 or http://dx.doi.org/10.2139/ssrn.1726313
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