2009/02/24
Wired on the Gaussian copula
Because this article is spamming the internet today, I decided to read Li’s paper and learn what the heck is this Gaussian copula.
For five years, Li’s formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever before. With his brilliant spark of mathematical legerdemain, Li made it possible for traders to sell vast quantities of new securities, expanding financial markets to unimaginable levels.
And anyway, here is the paper referenced in the article.
(Read the article)
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