Beyond the Gaussian copula: stochastic and local correlation

X Burtschell; J. Gregory; Jean-Paul Laurent

doi:10.21314/JCR.2007.059

Journal articles

Beyond the Gaussian copula: stochastic and local correlation

X Burtschell ¹ J. Gregory ¹ Jean-Paul Laurent ²

1 BNP-Paribas

2 ISFA - Institut de Science Financière et d'Assurances

Document type :

Journal articles

Domain :

Quantitative Finance [q-fin] / Computational Finance [q-fin.CP]

Quantitative Finance [q-fin] / Pricing of Securities [q-fin.PR]

Quantitative Finance [q-fin] / Risk Management [q-fin.RM]

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https://hal-paris1.archives-ouvertes.fr/hal-03679529
Contributor : Jean-Paul LAURENT Connect in order to contact the contributor
Submitted on : Thursday, May 26, 2022 - 5:26:23 PM
Last modification on : Friday, May 27, 2022 - 3:02:27 AM

Beyond the Gaussian copula: stochastic and local correlation

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Beyond the Gaussian copula: stochastic and local correlation

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