Sebastian Pokutta's Blog

Mathematics and related topics

Gaussian copulas and mathematical models in financial markets

leave a comment »

A few articles/blog posts that might be in particular interesting:

  1. In reference to the Wired article  Recipe for Disaster: The Formula That Killed Wall Street:
    Finance’s Gaussian Copulas: The New Frankenstein Monster (Aurelie Thiele)
    Finance’s Gaussian Copulas, Part 2
    (Aurelie Thiele)
  2. In Plato’s cave — Mathematical models are a powerful way of predicting financial markets. But they are fallible (The economist)

Written by Sebastian

March 15, 2009 at 9:10 am

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: