Sebastian Pokutta's Blog

Mathematics and related topics

Gaussian copulas and mathematical models in financial markets

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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

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