Get your news from a source that’s not owned and controlled by oligarchs. Sign up for the free Mother Jones Daily. In 2000, while working at JPMorgan Chase, Li published a paper in The Journal of ...

MacKenzie is a very smart sociologist, who understands quants and copula functions much more deeply than I ever did. (And, like most journalists, I forgot nearly all of what I ever knew about them ...

Several economic blogs have pointed me to this excellent article by Felix Salmon in Wired on the Gaussian copula devised by mathematician David X. Li in 2000. This was a mathematical formula to ...

This paper is concerned with the analysis of clustered data from developmental toxicity studies with mixed responses, i.e., where each member of the cluster has binary and continuous outcomes. A ...

The word ‘copula’ might still stir up bad memories for anyone in the markets at the time of the 2008 global financial crisis. The Gaussian copula, which was widely used to price collateralised debt ...

As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...

QUANT models and their architects are so misunderstood, often by people working in finance. It pains me, though I am biased. I spent the better part of a decade devoted to studying elegant (and ...