Forum Navigation: Select WHO'S ON: 09:52 PM General Forum Technical Forum Economics Forum Numerical Methods Forum Trading Forum The Quantitative Finance FAQs Proje... Student Forum Book And Research Paper Forum Programming and Software Forum Careers Forum Jobs Board Events Board Brainteaser Forum Off Topic Forum and Website Bugs and Suggesti... new topic search bookshop news help file share audio visual articles blogs wiki forums home login

FORUMS > The Quantitative Finance FAQs Project < refresh >

Topic Title: What are copulas and how are they used in quantitative finance? Created On Mon Jan 13, 03 01:10 PM Topic View: Branch View Threaded (All Messages) Threaded (Single Messages) Linear Pages: [ << 1 2 3 4 >> Previous Next ]

Colossus2420 Member Posts: 28 Joined: Feb 2006	Fri Feb 03, 06 07:48 PM Mr. Melchi, May I have a copy of your worksheet as well, please? Thanks, JMarsick@OAMAvatar.com ------------------------- Mr. M.
	Reply     Quote     Top     Bottom

jfuqua Senior Member Posts: 1151 Joined: Jul 2002

Tue Feb 07, 06 10:09 PM I know this is late in the game but the original question [or heading] what what are copulas for in finance. Here is a link to a free paper [actually presentation]: http://www.risklatte.com/copula/copula001.pdf?func=download&id=81 http://www.gloriamundi.org/picsresources/bdnrr.pdf Cherubini Umberto, Elisa Luciano 'Multivariate Option Pricing with Copulas' for an application outside risk management Hennessy David, Harvey Lapan 'The Use of Archimedean Copulas to Model Portfolio Allocations' MF 4/02

Reply     Quote     Top     Bottom

mrmelchi Member Posts: 25 Joined: Jul 2002	Tue Apr 04, 06 02:37 PM Try Tools for sampling Multivariate Archimedean Copulas ( www.defaultrisk.com/pp_corr_83.htm ) I hope it helps. Edited: Wed Apr 05, 06 at 11:57 AM by mrmelchi
	Reply     Quote     Top     Bottom

TraderJoe Senior Member Posts: 11057 Joined: Feb 2005	Tue Apr 04, 06 11:29 PM What a great website. Many thanks. defaultrisk.com ------------------------- That the ultimate felicity of man consists in the contemplation of God – St. Thomas Aquinas.
	Reply     Quote     Top     Bottom

sihingrich Junior Member Posts: 1 Joined: Jun 2006	Fri Jun 09, 06 02:13 PM Hi Mr. Melchi, Can you send me your spreadsheets? Thank you. Rich r.borowy@pitcairn.com
	Reply     Quote     Top     Bottom

Schulmar Junior Member Posts: 2 Joined: Jun 2006	Mon Jun 26, 06 11:30 AM Dear Mr. Melchi, could you send me your spreadsheets?? Thanks a lot, Martin martin.schulz@wiwi.uni-augsburg.de
	Reply     Quote     Top     Bottom

olbi Member Posts: 56 Joined: Sep 2005	Mon Jun 26, 06 11:54 PM Hi! Is it still possible to get hold of the spreadsheet? I would greatly appreciate it if you could email it to me. Thanks! oleksandr_bihun at yahoo dot com
	Reply     Quote     Top     Bottom

melbun Junior Member Posts: 2 Joined: Feb 2007	Tue Feb 27, 07 03:33 AM hi all, Could you introduce any books of applications of copulas? Many thanks Mel
	Reply     Quote     Top     Bottom

melbun Junior Member Posts: 2 Joined: Feb 2007	Tue Feb 27, 07 03:46 AM thanks alot for your recommendation... Oleg, could you recommend any other book of copula applications?
	Reply     Quote     Top     Bottom

PatrickChen Junior Member Posts: 13 Joined: Mar 2004	Thu Mar 01, 07 01:37 PM Dear Mr. Melchi, could you send me your spreadsheets?? Thanks a lot, Patrick chunxu.chen@gmail.com
	Reply     Quote     Top     Bottom

umairtariq Junior Member Posts: 1 Joined: Aug 2003	Tue Jun 19, 07 12:57 PM mrmelchi can I also get your spreadsheets - deathgnome@yahoo.com Thanks
	Reply     Quote     Top     Bottom

leehe Junior Member Posts: 2 Joined: Sep 2007	Thu Sep 13, 07 03:11 PM Do any of you currently have spreadsheet implementations of the basic copulas that are so oft discussed. I really need ones which start with the data and go through through step-by-step in a transparent manner to the results. If you have such, would you be so kind as to share them with me? You may just send them to leelyndal@yahoo.com. Thank you!
	Reply     Quote     Top     Bottom

raulcelada Junior Member Posts: 1 Joined: Apr 2006	Fri Sep 14, 07 07:21 PM Can i get a copy of the spreadsheet if possible. My email is racear@yahoo.com
	Reply     Quote     Top     Bottom

mrmelchi Member Posts: 25 Joined: Jul 2002	Tue Sep 18, 07 03:35 PM I sent you the Excel files to racear@yahoo.com, but your e-mail account rejected it.
	Reply     Quote     Top     Bottom

leehe Junior Member Posts: 2 Joined: Sep 2007	Wed Sep 19, 07 01:39 PM Would you please me the copies? I never received anything. Thank you! Henry leelyndal@yahoo.com
	Reply     Quote     Top     Bottom

Inder Member Posts: 21 Joined: Sep 2006	Wed Oct 03, 07 05:54 PM Mr.Melchi, Could you please mai your spreadsheets to sharmarajs@hotmail.com as well. Thank you
	Reply     Quote     Top     Bottom

Edelritter Junior Member Posts: 3 Joined: Aug 2007	Wed Oct 03, 07 09:40 PM Mr. Melchiori, Could you send a copy of your spreadsheets to jdesormeaux@gmail.com? Thank you in advance for your time.
	Reply     Quote     Top     Bottom

BDreeling Junior Member Posts: 1 Joined: Oct 2007	Mon Oct 22, 07 10:50 AM Hi MrMelchi, sorry to be a pain, but I would really appreciate it if you could send me a copy of those spreadsheets please? email address is bdreeling@googlemail.com thanks in advance. B
	Reply     Quote     Top     Bottom

pswent Junior Member Posts: 1 Joined: Oct 2007	Thu Oct 25, 07 03:06 PM Hi Mr Melchi, could you send me a copy of these spreadsheets to info at peterwent dot com? thank you very much.
	Reply     Quote     Top     Bottom

Ferreira Junior Member Posts: 2 Joined: Mar 2008	Thu Mar 06, 08 12:02 PM HI, I am very interested in apllying copulas to statistical arbitrage trading, do you have any ideas on this. I have "developed" a theory on this and did some tests on equity pairs and I am willing to share this with you. Thanks Luan, ------------------------- Quantitative research.
	Reply     Quote     Top     Bottom

Pages: [ << 1 2 3 4 >> Previous Next ]

FORUMS > The Quantitative Finance FAQs Project < refresh >

Forum Navigation: Select WHO'S ON: 09:52 PM General Forum Technical Forum Economics Forum Numerical Methods Forum Trading Forum The Quantitative Finance FAQs Proje... Student Forum Book And Research Paper Forum Programming and Software Forum Careers Forum Jobs Board Events Board Brainteaser Forum Off Topic Forum and Website Bugs and Suggesti...

© All material, including contents and design, copyright Wilmott Electronic Media Limited - FuseTalk 4.01 © 1999-2010 FuseTalk Inc.