The word ‘copula’ might still stir up bad memories for anyone in the markets at the time of the 2008 global financial crisis. The Gaussian copula, which was widely used to price collateralised debt ...

Ignacio Luján proposes a pricing framework for multi-asset derivatives based on the family of normal mean-variance mixture copulas. This class of copulas offers sufficient flexibility to capture a ...

Simply sign up to the Hedge funds myFT Digest -- delivered directly to your inbox. Morning! After some dabbling in the genre, FT Alphaville is starting an informal series of simple Q&A interviews. The ...

Copulas are multivariate distribution functions with uniform marginal distributions. In this paper, we study a class of copulas called radial copulas, which is derived from residual implications where ...

We propose a new framework that addresses endogenous regressors using a novel conditional copula endogeneity model to capture the regressor-error dependence ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

The American Association of Teachers of Japanese is a non-profit, non-political organization of individuals and institutions seeking to promote the study of Japanese language, linguistics, literature, ...

As the gallery closes out their 25th anniversary year, they invite you to join them for a special exhibition that highlights artists who have been part of the gallery's journey from the very beginning ...