Essays about: "Johan Orrenius"

Found 1 essay containing the words Johan Orrenius.

  1. 1. Optimal mass transport: a viable alternative to copulas in financial risk modeling?

    University essay from KTH/Matematik (Inst.)

    Author : Johan Orrenius; [2018]
    Keywords : Optimal mass transport; Financial risk; Copulas;

    Abstract : Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. READ MORE