Seminár 7.9.2012, Naoyuki Ishimura: Evolution of copulas

[sevcovic]

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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.