I try to understand the basic idea of copulas, however I am still struggling and hope that someone can help me. I understood that in general a copula is a function which links several marginal ...
I am asking professionals for a help. There have already been the post Data Selection for Empirical Pricing Kernel Estimation (Stochastic Discount Factor) from Finance_Newbie. But I am wondering ...
What is the unity/interpretation of the y-axis of a density distribution function? The X-axis is the values of the random variable, the area is the probabilty what about the y-axis ?
Using the second derivative of the Call-Option-Price one can try to recover the pricing density. Formally: Assuming a constant interst rate $r$ and also not making any assumptions on the model ...