Group Seminar: QMC: Bounds on multivariate integrals with respect to copulas

Speaker: Michael Preischl (TU Graz), MT130

Location: MT130

In this talk, I will present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). The results extend an approach by Hofer and Iacó from 2014. I show connections to state-of-the art algorithms and, as applications, three dimensional dependence measures as well as an example from finance are considered.