Θεωρία και εφαρμογές των συνδέσμων (Copulas) στα χρηματοοικονομικά
Master Thesis
Date
2007-06-06View/
Abstract
Over the last years, the development of new financial products has been responsible for the use of copulas in finance. In this dissertation, we present a brief review of the history of copulas and we present the definitions and basic properties of copulas. Furthermore, we analyse the Archimedean copulas, as this is maybe the most important category of copulas. Finally, we present some applications of copulas in finance, and the simulation of some important copulas and we study the results of this simulation.
Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές