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Bivariate copulas, norms and non-exchangeability

100%

Papini P. L.

Dependence Modeling

2015

tom 3

nr 1

The present paper is related to the study of asymmetry for copulas by introducing functionals based on different norms for continuous variables. In particular, we discuss some facts concerning asymmetry and we point out some flaws occurring in the recent literature dealing with this matter.

On the control of the difference between two Brownian motions: an application to energy markets modeling

51%

Deschatre T.

Dependence Modeling

2016

tom 4

nr 1

We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled by a constant correlation. It can be used for risk management and option pricing in commodity energy markets. In particular, it allows to capture the asymmetry in the distribution of the difference between electricity prices and its combustible prices.

Ograniczanie wyników

2 Dependence Modeling

1 Deschatre T.

1 Papini P. L.

1 2016

1 2015

Wyniki wyszukiwania

Bivariate copulas, norms and non-exchangeability

On the control of the difference between two Brownian motions: an application to energy markets modeling