Abstract : We propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. Our approach is based on the copula between the Brownian motion and its reflection. We show that the class of admissible copulae for the Brownian motions are not limited to the class of Gaussian copulae and that it also contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right tail than in the Gaussian copula case. We derive two models based on the structure of the Reflection Brownian Copula which present two states of correlation ; one is directly based on the reflection of the Brownian motion and the other is a local correlation model. These models can be used for risk management and option pricing in commodity energy markets.

Séminaire de la Chaire Finance et Développement Durable & de l’Initiative de Recherche Finance des Marchés d’Energies
Organisation : Delphine Lautier, Emmanuel Gobet, Clémence Alasseur

Lieu : Salle 01 – Institut Henri Poincaré, 11 rue Pierre et Marie Curie – Paris 5eme
Date : Vendredi 19 février 2016

Heure : 14h00
Intervenants: Thomas Deschatre (CEREMADE & EDF R&D (IdR FiME)

Organisateur

  • Chaire Finance et Développement Durable & de l’Initiative de Recherche Finance des Marchés d’Energies

Lieu

Institut Henri Poincaré 11 rue Pierre et Marie Curie, Paris, 75005 France