Optimal mass transport: a viable alternative to copulas in financial risk modeling?
Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass...
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| Format: | Others |
| Language: | English |
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KTH, Matematik (Inst.)
2018
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-231829 |