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Research from Yield Curve.com |
| The pricing and valuation of credit derivatives has attracted the attention of academics and practitioners at the highest level. One of the mathematical approaches to pricing credit derivatives contracts makes use of the Copula approach. |
| We are pleased to present highly advanced research on this subject in our latest article, written by Mario Melchiori of the Universidad Nacional del Litoral in Argentina. His paper, “Which Archimidean Copula is the right one?” is published exclusively by YieldCurve.com. |
| The article is accompanied by two Excel spreadsheets that demonstrate in practical terms how to apply the concept, including pricing of a first-to-default contract. |
| Visitors can read the Abstract here. |
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