标题： 时变 copula 显示英文标题

标题： Time and Space Varying Copulas

摘要： 本文回顾了关于动态copula的现有文献，然后提出了一种随时间和空间变化的n-copula。 我们的方法利用了随机微分方程，生成了一个能够捕捉多个Markov扩散过程之间依赖关系的动态copula。 该模型适用于金融中的篮子衍生品定价，也可能适用于生物信息学和环境科学等领域。 显示英文摘要

摘要： In this article we review existing literature on dynamic copulas and then propose an n-copula which varies in time and space. Our approach makes use of stochastic differential equations, and gives rise to a dynamic copula which is able to capture the dependence between multiple Markov diffusion processes. This model is suitable for pricing basket derivatives in finance and may also be applicable to other areas such as bioinformatics and environmental science.