Copulae and Multivariate Probability Distributions in Finance

Copula theory is a branch of statistics which provides powerful methods to overcome the shortcomings of various probability models.This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. Thetext describes the state of the art in the tools required to deal with these observed features of financial data.