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Papers

Computing the Volume of n-Dimensional Copulas

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Pages 307-314 | Received 22 Apr 2008, Published online: 28 Sep 2009

References

  • Cherubini , U. and Luciano , E. 2002 . Bivariate option pricing with copulas . Applied Mathematical Finance , 9 : 69 – 85 .
  • Cherubini , U. , Luciano , E. and Vecchiato , W. 2004 . Copula Methods in Finance , Chichester : Wiley .
  • Joe , H. 1997 . Multivariate Models and Dependence Concepts , London : Chapman & Hall .
  • McNeil , A. J. , Frey , R. and Embrechts , P. 2005 . Quantitative Risk Management: Concept, Techniques and Tools , Princeton : Princeton University Press .
  • Nelsen , R. 2006 . Introduction to Copulas , Heidelberg : Springer .
  • Savu , C. and Trede , M. . Hierarchical Archimedean copulas . International Conference on High Frequency Finance . Konsstanz, , Germany

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