Seminár 7.9.2012, Naoyuki Ishimura: Evolution of copulas

Seminar on Qualitative Theory of Differential Equations
organized by P.Quittner, M.Fila and R.Kollar

Moderator: sevcovic

Seminár 7.9.2012, Naoyuki Ishimura: Evolution of copulas

Postby sevcovic » Sun Sep 02, 2012 10:17 pm

Mili kolegovia,

dovolte mi, aby som vas informoval a pozval na seminar hosta nasej katedry

Naoyuki Ishimura

z Hitotsubashi University, Tokyo, ktory bude mat seminar na temu:

Evolution of copulas

Seminar sa bude konat 7.9.2012 (piatok) o 11:00 v miestnosti F1/326 na FMFI UK.

Pozdravuje vas vsetkych,
Daniel Sevcovic


Abstract: A copula function is a well employed tool for investigating the dependence structure among random variables. Copulas make a link between multivariate joint distribution function and univariate marginal distributions, and thus provide a flexible method for evaluating various financial instruments. Copulas, however, are mainly concerned with the static problems; the original definition does not involve the time variable. On the other hand, we have proposed the concept of the evolution of copulas both in continuous and discrete times, which claims that a copula itself evolves according to the time. In this talk, we report on our recent studies concerning this evolution of copulas.
sevcovic
 
Posts: 16
Joined: Sat Dec 11, 2010 2:43 am

Return to Seminar on Qualitative Theory of Differential Equations

Who is online

Users browsing this forum: No registered users and 1 guest