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Copulæ: Some mathematical aspects

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  • Carlo Sempi

Abstract

This paper starts with a few critical considerations about the use of copulas in applications, mainly in the field of Mathematical Finance. Two points will be stressed: (i) the construction of asymmetric copulas and (ii) the construction of multivariate copulas. Also, it briefly touches on the long‐standing problem of compatibility. Copyright © 2010 John Wiley & Sons, Ltd.

Suggested Citation

  • Carlo Sempi, 2011. "Copulæ: Some mathematical aspects," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(1), pages 37-50, January.
    • Handle: RePEc:wly:apsmbi:v:27:y:2011:i:1:p:37-50
    DOI: 10.1002/asmb.835
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