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Copulas for Stochastic Volatility Models

delete2026-04-27
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PRE
AI
M
Mauricio Contreras
R
Roberto Ortiz *
M
Marcelo Villena
DOI：10.3390/math14091470delete
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Abstract

Abstract

En 中文
In this article, a Fokker-Planck equation framework for the copula density associatedwith a two-dimensional stochastic differential equations system is developed. The differ-ent information pieces associated with the statistical interdependence properties and themarginal ones are separated explicitly, and the corresponding boundary conditions for thecopula distribution are analyzed. Given the set of functions that defines the copula densitydynamics and the marginal probability density functions, a Fokker-Planck equation for themultivariate density probability function of the stochastic volatility model is obtained.
Keywords:
copula theory
stochastic volatility models
financial correlations
Fokker-Planck equation

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Mathematics cover
Mathematics
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2.2
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university diego portales
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