Sampling from Archimedean copulas

Quantitative Finance

Volumn 4, Issue 3, 2004, Pages 339-352

  Whelan, Niall ^a  

^a Bank of Nova Scotia   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 3142579298     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1088/1469-7688/4/3/009     Document Type: Article

References (27)

1. Abramowitz M and Stegun I (ed) 1965 Handbook of Mathematical Functions (New York: Dover)
2. Ahrens J and Dieter U 1974 Computer methods for sampling from gamma, beta, Poisson and binomial distributions Computing 12 223-46
3. Barbe P, Genest C, Ghoudi K and Rémillard B 1996 On Kendall's process J. Multivariate Anal. 58 197-229
4. Bouyé E, Durrleman V, Nikeghbali A, Riboulet G and Roncalli T 2000 Copulas for finance: a reading guide and some applications, Groupe de Recherche Opérationnelle, Crédit Lyonnais Preprint
5. Corliss G, Faure C, Griewank A and Hascoet L (ed) 2002 Automatic Differentiation of Algorithms (Berlin: Springer)
6. Devroye L 1986 Non-Uniform Random Variate Generation (New York: Springer)
7. Embrechts P, Lindskog F and McNeil A 2001a Modelling dependence with copulas and applications to risk management Preprint ETH
8. Embrechts P, McNeil A and Straumann D 2001b Correlation and dependence in risk management: properties and pitfalls Risk Management: Value at Risk and Beyond ed M Dempster and H Moffat (Cambridge: Cambridge University Press)
9. Frey R and McNeil A J 2003 Dependent defaults in models of portfolio credit risk, in preparation
10. Genest C and Rivest L 1993 Statistical inference procedures for bivariate Archimedean copulas J. Am. Stat. Assoc. 88 1034-43
11. Hirayama H 2001 Numerical integration on the complex plane IPSJ SIGNotes Numerical Analysis Abstract No 022-003
12. Höffding W 1940 Masstabinvariante Korrelationstheorie Schriften des Mathematischen Seminars und des Instituts für Angewandte Mathematik der Universität Berlin 5 181-233
13. Joe H 1997 Multivariate models and dependence concepts Monographs on Statistics and Applied Probability No. 37 (London: Chapman and Hall)
14. Kendall M and Stuart A 1979 Handbook of Statistics (London: Griffin and Company)
15. Kimberling C 1974 A probabilistic interpretation of complete monotonicity Aequationes Mathematicæ 10 152-64
16. Laurent J-P and Gregory J 2002 Basket default swaps, cdo's and factor copulas (Available at http://laurent.jeanpaul.free.fr)
17. Li D X 2000 On default correlation: a copula function approach J. Fixed Income 9 43-54
18. Marshall A W and Olkin I 1988 Families of multivariate distributions J. Am. Stat. Assoc. 83 834-41
19. Nelsen R 1999 An introduction to copulas Lecture Notes in Statistics No. 139 (New York: Springer)
20. Oberhettinger F 1990 Tables of Fourier Transforms and Fourier Transforms of Distributions (Berlin: Springer)
21. Press W, Teukolsky S A, Vetterling W T and Flannery B P 1992 Numerical Recipes in C 2nd edn (Cambridge: Cambridge University Press)
22. Rall L B 1981 Automatic Differentiation: Techniques and Applications (Lecture Notes in Computer Science vol 120) (Berlin: Springer)
23. Razak S 2003 Default intensities from copulas, in preparation
24. Schoenberg I J 1938 Metric spaces and completely monotone functions Ann. Math. 39 811-41
25. Schönbucher P J 2003 Credit Derivatives Pricing Models (Chichester: Wiley)
26. Schönbucher P J and Schubert D 2001 Copula-dependent default risk in intensity models Preprint Department of Statistics, Bonn University
27. Sklar A 1959 Fonctions de répartition à n dimensions et leurs marges Publications de l'Institut de Statistique de L'Université de Paris 8 229-31