Non-Parametric Pricing of Multivariate Contingent Claims

By Joshua V. Rosenberg. 2003

89 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5cb5b638128c5d8452f82df9e7ea4f0427267d2

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Citations in the corpus

Copula Methods for Forecasting Multivariate Time Series (2013, background): “Applications of copulas in other derivatives markets include Rosenberg (2003), Bennett and Kennedy (2004), Cherubini, et al. (2004), van den Goorbergh, et al. (2005), Salmon and Schleicher (2006), Grégoire, et al. (2008), Taylor and Wang (2010), and Cherubini, et al. (2012).”
Copula-Based Models for Financial Time Series (2009, background): “Other papers that consider option pricing with copulas include Rosenberg (2003), Bennett and Kennedy (2004), van den Goorbergh, et al. (2005) and Salmon and Schleicher (2006).”
The Euro and European Financial Market Dependence (2007, unknown): “…correlations for credit risk management (Li, 2000), modeling portfolio allocations (Hennessy and Lapan, 2002), pricing foreign exchange rate quanto options (Bennett and Kennedy, 2004), pricing multivariate contingent claims (Rosenberg, 2003), and modeling time-varying dependence (Patton, 2006a,b).”
Copulas in Econometrics (2014, background): “Applications of copulas in other derivative markets include Rosenberg (2003), Cherubini et al. (2004), van den Goorbergh et al. (2005), and Zimmer (2012).”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “…situations where the entire conditional joint density is required, such as the pricing of financial options with multiple underlying assets (see Rosenberg, 2003) or in the calculation of portfolio Value-at-Risk (VaR) (see Hull and White, 1998) or in a forecast situation where the loss function…”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, unknown): “…work on modeling the dependence structure of multivariate financial time 1A non-exhaustive list of references include Hull and White (1998), Rosenberg (2003), Costinot, et al. (2000), Li (2000), Frey and McNeil (2001), Schonbucher and Schubert (2001), Cherubini and Luciano (2001, 2002),…”
Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (2005, unknown): “Rosenberg (2003) follows a different route by using a nonparametric method and a copula which is estimated from historical exchange rate movements.”
A review of copula models for economic time series (2012, background): “Applications of copulas in other derivativesmarkets includeCherubini et al. [32], Rosenberg [128], Bennett andKennedy [13], van den Goorbergh et al. [144], Salmon and Schleicher [131], Grégoire et al. [82] and Taylor and Wang [142].”