abstract background: keratoconus is a bilateral corneal disease, which one way to cure it is to transplant. the transplantation may be rejected by recipient's immune system, which leads to failure of the graft. this study aimed to analysis the factors affecting bilateral corneal graft rejection based on copula function. methods: a sample of bilateral graft rejection times was assessed. since co...

The complexity of financial products significantly increased in the past ten years. In this paper we investigate the pricing of basket options and more generally of complex exotic contracts depending on multiple indices. Our approach assumes that the underlying assets evolve as dependent GARCH(1,1) processes and it involves to model the dependency among the assets using a copula based on pair-c...

In recent years, copulas have become very popular in financial research and actuarial science as they are more flexible in modelling the co-movements and relationships of risk factors as compared to the conventional linear correlation coefficient by Pearson. However, a precise estimation of the copula parameters is vital in order to correctly capture the (possibly nonlinear) dependence structur...

On computational methods for the valuation of credit derivatives Wanhe Zhang Doctor of Philosophy Graduate Department of Computer Science University of Toronto 2010 A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four ...

The famous Sklar’s theorem (see [54]) allows to build multivariate distributions using a copula and marginal distributions. For the basic theory on copulas see the first chapter ([14]) or the books on copulas by Joe ([32]) and Nelson ([51]). Much emphasis has been put on the bivariate case and in [32] and [51] many examples of bivariate copula families are given. However the class of multivaria...