- WMMFMA29

Informations générales

  • 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

Prerequisites

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
see the course schedule for 2025-2026

Additional Information

Course ID : WMMFMA29
Course language(s): FR

You can find this course among all other courses.

Bibliography

R. Nelsen (2006), An Introduction to Copulas, Springer