Sampling Nested Archimedean Copulas

ISBN-13: 9783838116563 / Angielski / Miękka / 2010 / 200 str.

Jan Marius Hofert

Opis

Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioners point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.

O autorze

Jan Marius Hofert was born in Friedrichshafen, Germany, on Mai 2,1980. He completed a Master of Science in Mathematics fromSyracuse University and a Diploma in Economathematics, as well asa Doctor of Philosophy in Mathematics, from Ulm University. He iscurrently a postdoc in the Department of Mathematics at ETH Zurich.