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Applied Mathematical Finance Volume 16, 2009 - Issue 4
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Computing the Volume of n-Dimensional Copulas

Umberto Cherubini Department of Mathematical Economics, University of Bologna, 40126, Bologna, ItalyCorrespondence[email protected]
&
Silvia Romagnoli Department of Mathematical Economics, University of Bologna, 40126, Bologna, Italy
Pages 307-314 | Received 22 Apr 2008, Published online: 28 Sep 2009

Citations (13)

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Enrico Bernardi, Silvia Romagnoli & Matteo Doti. (2019) The impact of the dependence structure in risk management: a focus on credit-risk. International Journal of General Systems 48:4, pages 335-361.
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Umberto Cherubini & Silvia Romagnoli. (2011) Multivariate digital options with memory. The European Journal of Finance 17:8, pages 649-660.
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Enrico Bernardi & Silvia Romagnoli. (2011) Computing the volume of a high-dimensional semi-unsupervised hierarchical copula. International Journal of Computer Mathematics 88:12, pages 2591-2607.
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Articles from other publishers (10)

Enrico Bernardi & Silvia Romagnoli. (2021) A distorted copula-based evolution model: risks’ aggregation in a Bonus–Malus migration system. Soft Computing 25:17, pages 11845-11863.
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Enrico Bernardi & Silvia RomagnoliEnrico Bernardi & Silvia Romagnoli. 2021. Counting Statistics for Dependent Random Events. Counting Statistics for Dependent Random Events 29 61 .
Etienne Harb & Wael Louhichi. (2017) Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula. Research in International Business and Finance 39, pages 963-975.
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Enrico Bernardi & Silvia Romagnoli. (2016) Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application. International Journal of Information Technology & Decision Making 15:02, pages 285-310.
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Enrico Bernardi, Federico Falangi & Silvia Romagnoli. (2015) A hierarchical copula-based world-wide valuation of sovereign risk. Insurance: Mathematics and Economics 61, pages 155-169.
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Gianfausto Salvadori & Carlo De Michele. 2013. Extremes in a Changing Climate. Extremes in a Changing Climate 115 162 .
Jian Zhou & Yanmin Gao. (2010) Tail Dependence in International Real Estate Securities Markets. The Journal of Real Estate Finance and Economics 45:1, pages 128-151.
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Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci & Silvia Romagnoli. 2011. Dynamic Copula Methods in Finance. Dynamic Copula Methods in Finance 245 249 .
G. Salvadori, C. De Michele & F. Durante. (2011) On the return period and design in a multivariate framework. Hydrology and Earth System Sciences 15:11, pages 3293-3305.
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Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci & Silvia Romagnoli. 2010. Copula Theory and Its Applications. Copula Theory and Its Applications 257 265 .

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