Number of hours
- Lectures 12.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works 6.0
- Written tests -
ECTS
ECTS 2.0
Goal(s)
This course aims to understand the stochastic dependency, the tool of copulas as well as their properties and their associated inference methods. Students will apply these concepts with exercices and practical works.
Responsible(s)
Christophe DUTANG
Content(s)
1 Introduction
2 Concepts associated with random vectors
3 Copulas
4 Usual families
5 Measure dependancy
6 Statistical inference
Probability : random variable, distribution function; Statistics : inference methods
Test
Evaluation : 50% of Participation et assiduité and 50% of Examen Ecrit (2h)
Resit : 30% of Participation et assiduité (reported score) and 70% of Examen Ecrit (1h30)
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : WMMFMA29
Course language(s): 
You can find this course among all other courses.
Bibliography
R. Nelsen (2006), An Introduction to Copulas, Springer