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20072020
most citedModels with time-dependent parameters using transform methods: application to Heston's model

10 citations · 11 across the 6 of their papers we have counts for

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q-fin.PR2010

Perturbed Copula: Introducing the skew effect in the co-dependence

Alberto Elices, Jean-Pierre Fouque

Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian cop…