Optimal bounds for integrals with respect to copulas and applications

Markus Hofer*, Maria Rita Iaco

*Korrespondierende/r Autor/-in für diese Arbeit

Publikation: Beitrag in einer FachzeitschriftArtikelBegutachtung

Abstract

We consider the integration of two-dimensional, piecewise constant functions with respect to copulas. By drawing a connection to linear assignment problems, we can give optimal upper and lower bounds for such integrals and construct the copulas for which these bounds are attained. Furthermore, we show how our approach can be extended in order to approximate extremal values in very general situations. Finally, we apply our approximation technique to problems in financial mathematics and uniform distribution theory, such as the model-independent pricing of first-to-default swaps.
Originalspracheenglisch
Seiten (von - bis)999-1011
FachzeitschriftJournal of Optimization Theory and Applications
Jahrgang161
Ausgabenummer3
DOIs
PublikationsstatusVeröffentlicht - 2014

Fields of Expertise

  • Information, Communication & Computing

Treatment code (Nähere Zuordnung)

  • Application
  • Theoretical

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