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The Advent of Copulas in Finance

Christian Genest, Michel Gendron and Michaël Bourdeau-Brien

The European Journal of Finance, 2009, vol. 15, issue 7-8, 609-618

Abstract: The authors provide bibliometric evidence to illustrate the development of copula theory in mathematics, statistics, actuarial science and finance. They identify the main contributors to the field, and the most important areas of application in finance. They also describe some of the remaining methodological challenges.

Keywords: bibliometry; copula; derivative pricing; portfolio management; risk management (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:taf:eurjfi:v:15:y:2009:i:7-8:p:609-618