Copulas are functions that enable the construction of multivariate probability distributions by binding together univariate marginal distributions. Central to probability theory, they allow ...

Discover how multivariate models use multiple variables for investment forecasting, risk analysis, and decision-making in ...

This paper presents a saddlepoint approximation to the cumulative distribution function of a random vector. The proposed approximation has accuracy comparable to that of existing expansions valid in ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...