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

Domaines: Finance quantitative [q-fin.CP]; Pricing [q-fin.PR]; Gestion des risques [q-fin.RM]

X Burtschell, J. Gregory, Jean-Paul Laurent. Beyond the Gaussian copula: stochastic and local correlation. Journal of Credit Risk, 2007, 3 (1), pp.31-62. ⟨10.21314/JCR.2007.059⟩. ⟨hal-03679529⟩