# Tag Info

Accepted

### Copula Correlations

This may not be a consequence of biased estimators or sampling error. I don't think it is a coincidence that $$\frac{6}{\pi} \arcsin\left(\frac{0.9}{2} \right) = 0.891457\ldots \approx 0.891$$ ...
• 3,650
Accepted

### How to price this basket option?

No offense but it will be much more complicated than what you think... I'm not even sure that you are familiar with risk-neutral pricing in the first place? I'll try to give you some clues. This ...
• 14.6k
Accepted

### Why do we not use copula for forward starting options?

One is exploring forward volatility of a price of a single asset (joint distributions from within a process), the other explores correlation of two prices at the same time for two different ...
• 5,043
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• 10.2k
Accepted

### Gaussian copula calibration to option price

You did not mention it, but I think you also need to include the discount factor $D$ at the time $T$ of maturity of your option as a third variable. Denote the two interest rates as $r$ and $s$ and ...
• 2,003
Accepted

### Optimal Hedging Ratio using Copula Models

Using a static copula model implies $\rho_{s,f,t}\equiv\rho_{s,f}$. In such case fitting a copula model to obtain $\rho_{s,f}$ is an overkill, since it can be estimated very simply by the empirical ...
• 3,136
Accepted

### Any video lecture on copula function, a statistics concept for measuring dependence?

It's very difficult to find accessible material on copulas. I'm still struggling to understand them myself. While I haven't come across any videos that explain copulas well, I have found the following ...
Accepted

### Verifying that the extreme value copula is indeed a copula

Note that, you only need to show that \begin{align*} A\left(\frac{\log(u_2)}{\log(u_1u_2)}\right)-\frac{\log(u_2)}{\log(u_1u_2)}A'\left(\frac{\log(u_2)}{\log(u_1u_2)}\right) \ge 0, \end{align*} or, ...
• 21.1k
Accepted

### How to sample from a copula in matlab

Suppose you have the copula $C(u_1,u_2)$, then you could compute the conditional copula $$c_{u_1}(u_2)=\frac{\partial C(u_1,u_2)}{\partial u_1} \; .$$ Now, you can generate a pair of independent ...
• 1,527

### Copula Correlations

This is an interesting observation that you have. The interesting part is "consistently smaller". The normal copula is based on a multivariate normal distribution. The correlation you get out is the ...
• 13.7k
Accepted

• 1,008
1 vote

### Correlation sensitivity in multivariate $t$-copula for portfolio VaR of electricity futures using Kendall's tau-$b$ correlation matrix

Instead of thinking "at the margin", I've opted to conduct an attribution of sorts, by running the copula with the empirical Kendall's tau-b correlation matrix and again with a zero matrix. ...
• 555
1 vote

### Modelling dependance between the two uncorrelated variables using copulas

Uncorrelated does not imply independent, hence a copula could capture the dependence for very small correlations if there is any. As an example, the student t copula with a degree of freedom of 0.4 ...
• 146
1 vote

### What is the R code for estimating copula parameters of BB1 with dim=2? And what's the code for gof test of BB1?

I have just found out what the code is. Note that theta and delta come from the copula selected for you through the BiCopSelect() command. ...
1 vote

### Verifying two properties of the Clayton Copula

Fix u, obtain derivative of v. And do it again for fixing v. To get marginal density of v, one has to do the integration w.r.t. u
1 vote

### Any video lecture on copula function, a statistics concept for measuring dependence?

I am sharing what I found most helpful for understanding the concept 'copula'. It is an academic paper written by an undergraduate student in Netherland, for her college graduation in 2007. Copulas: ...
• 550

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