%% Saved with string encoding Unicode (UTF-8)
%% book, article, incollection, thesis, online

@book{schoutens2003,
	author={Schoutens, W.},
	publisher={Wiley},
	title={{L{\'e}vy Processes in Finance: Pricing Financial Derivatives}},
	year={2003}}

@article{savutrede2008,
	author={Savu, C. and Trede, M.},
	journal={Quantitative Finance},
	number={2},
	pages={109--116},
	title={{Goodness-of-fit tests for parametric families of Archimedean copulas}},
	volume={8},
	year={2008}}

@article{liebscher2008,
	author={Liebscher, E.},
	title={{Construction of asymmetric multivariate copulas}},
	journal={Journal of Multivariate Analysis},
	volume={99},
	number={10},
	pages={2234--2250},
	year={2008}}

@article{ling1965,
	author={Ling, C. H.},
	journal={Publicationes Mathematicae Debrecen},
	pages={189--212},
	title={{Representation of associative functions}},
	volume={12},
	year={1965}}

@article{genestrivest1993,
	author={Genest, C. and Rivest, L.-P.},
	journal={Journal of the American Statistical Association},
	number={423},
	pages={1034--1043},
	title={{Statistical Inference Procedures for Bivariate Archimedean Copulas}},
	volume={88},
	year={1993}}

@article{genestremillardbeaudoin2009,
	author={Genest, C. and R{\'e}millard, B. and Beaudoin, D.},
	journal={Insurance: Mathematics and Economics},
	title={{Goodness-of-fit tests for copulas: A review and a power study}},
	volume={44},
	year={2009}}

@article{genestquessyremillard2006,
	author={Genest, C. and Quessy, J. F. and R{\'e}millard, B.},
	journal={Scandinavian Journal of Statistics},
	pages={337--366},
	title={{Goodness-of-fit procedures for copula models based on the probability integral transformation}},
	volume={33},
	year={2006}}

@article{genestmackay1986,
	author={Genest, C. and MacKay, R. J.},
	journal={The Canadian Journal of Statistics},
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	title={{Copules archim{\'e}diennes et familles de lois bidimensionnelles dont les marges sont donn{\'e}es}},
	volume={14},
	year={1986}}

@article{fermanian2005,
	author={Fermanian, J.-D.},
	journal={Journal of Multivariate Analysis},
	number={1},
	pages={119--152},
	title={{Goodness of fit tests for copulas}},
	volume={95},
	year={2005}}

@book{cherubinilucianovecchiato2004,
	author={Cherubini, U. and Luciano, E. and Vecchiato, W.},
	publisher={Wiley},
	title={{Copula Methods in Finance}},
	year={2004}}

@article{breymanndiasembrechts2003,
	author={Breymann, W. and Dias, A. and Embrechts, P.},
	journal={Quantitative Finance},
	pages={1--14},
	title={{Dependence structures for multivariate high-frequency data in finance}},
	volume={3},
	year={2003}}

@misc{bergbakken2007,
	author={Berg, D. and Bakken, H.},
	title={{A copula goodness-of-fit approach based on the conditional probability integral transformation}},
	year={2007},
	howpublished={\burl{http://www.danielberg.no/publications/Btest.pdf} (2010-03-16)},
	urldate={2008-11-01}}

@misc{bergbakken2006,
	author={Berg, D. and Bakken, H.},
	title={{Copula Goodness-of-fit Tests: A Comparative Study}},
	year={2006},
	howpublished={\burl{http://www.danielberg.no/publications/CopulaGOF.pdf} (2010-03-16)},
	urldate={2008-11-01}}

@misc{berg2009,
	author={Berg, D.},
	journal={The European Journal of Finance},
	pages={},
	title={{Copula goodness-of-fit testing: an overview and power comparison}},
	volume={},
	year={2009},
	howpublished={\burl{http://www.informaworld.com/10.1080/13518470802697428} (2010-03-16)},
	urldate={2009-03-25}}

@article{embrechts2008,
	author={Embrechts, P.},
	journal={Journal of Risk and Insurance},
	pages={},
	title={{Copulas: A personal view}},
	volume={},
	year={2008},
	note={to appear}}

@article{tweedie1984,
	author={Tweedie, M. C. K.},
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	year={1984}}

@misc{ridout2008,
	author={Ridout, M.},
	title={{Generating random numbers from a distribution specified by its Laplace transform}},
	year={2008},
	howpublished={\burl{http://www.kent.ac.uk/IMS/personal/msr/webfiles/rlaptrans/SimRandom3.pdf} (2010-03-16)},
	urldate={2009-12-30}}

@article{morillas2005,
	author={Morillas, P. M.},
	journal={Metrika},
	number={2},
	pages={169--184},
	title={{A method to obtain new copulas from a given one}},
	volume={61},
	year={2005}}

@misc{mccullochlee2007,
	author={McCulloch, J. H. and Lee, S. H.},
	title={{Estimation of the Risk Neutral Measure with the Stable Option Pricing Model}},
	year={2007},
	howpublished={\burl{https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=sce2007&paper_id=305} (2010-03-16)},
	urldate={2009-12-30}}

@misc{mcculloch2003,
	author={McCulloch, J. H.},
	title={{The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty}},
	year={2003},
	howpublished={\burl{http://economics.sbs.ohio-state.edu/pdf/mcculloch/wp03-07.pdf} (2010-03-16)},
	urldate={2009-12-30}}

@article{joehu1996,
	author={Joe, H. and Hu, T.},
	journal={Journal of Multivariate Analysis},
	pages={240--265},
	title={{Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions}},
	volume={57},
	year={1996}}

@article{hougaard1986,
	author={Hougaard, P.},
	journal={Biometrika},
	number={2},
	pages={387--396},
	title={{Survival models for heterogeneous populations derived from stable distributions}},
	volume={73},
	year={1986}}

@article{genestrivest2001,
	author={Genest, C. and Rivest, L.-P.},
	journal={Statistics {\&} Probability Letters},
	pages={391--399},
	title={{On the multivariate probability integral transform}},
	volume={53},
	year={2001}}

@article{brix1999,
	author={Brix, A.},
	journal={Advances in Applied Probability},
	pages={929--953},
	title={{Generalized gamma measures and shot-noise Cox processes}},
	volume={31},
	year={1999}}

@article{durantesempi2005,
	author={Durante, F. and Sempi, C.},
	journal={International Journal of Mathematics and Mathematical Sciences},
	pages={645--655},
	title={{Copula and semicopula transforms}},
	volume={4},
	year={2005}}

@article{devroye2009,
	author={Devroye, L.},
	journal={ACM Transactions on Modeling and Computer Simulation},
	volume={19},
	issue={4},
	number={18},
	title={{Random variate generation for exponentially and polynomially tilted stable distributions}},
	year={2009}}
	
@article{hofert2010e,
	author={Hofert, M.},
	journal={},
	pages={},
	title={{A stochastic representation and sampling algorithm for nested Archimedean copulas}},
	volume={},
	number={},
	url={},
	urldate={},
	note={submitted},
	year={2010}}

@misc{barndorffnielsonshephard2001,
	author={Barndorff-Nielson, O. E. and Shephard, N.},
	title={{Normal modified Stable processes}},
	year={2001},
	howpublished={\burl{http://www.economics.ox.ac.uk/research/WP/PDF/paper072.pdf} (2010-03-16)},
	urldate={2009-12-30}}

@article{sklar1959,
	author={Sklar, A.},
	journal={Publications de L'Institut de Statistique de L'Universit{\'e} de Paris},
	pages={229--231},
	title={{Fonctions de r{\'e}partition {\`a} n dimensions et leurs marges}},
	volume={8},
	year={1959}}

@article{sklar1996,
	author={Sklar, A.},
	journal={Distributions with Fixed Marginals and Related Topics},
	pages={1--14},
	title={{Random variables, distribution functions, and copulas---a personal look backward and forward}},
	volume={28},
	year={1996}}

@article{sklar1973,
	author={Sklar, A.},
	journal={Kybernetika},
	pages={449--460},
	title={{Random variables, joint distribution functions, and copulas}},
	volume={9},
	year={1973}}

@article{cambanishuangsimons1981,
	author={Cambanis, S. and Huang, S. and Simons, G.},
	journal={Journal of Multivariate Analysis},
	pages={368--385},
	title={{On the Theory of Elliptically Contoured Distributions}},
	volume={11},
	year={1981}}

@article{feron1956,
	author={F{\'e}ron, R.},
	journal={Publications de l'Institut de Statistique de l'Universit{\'e} de Paris},
	pages={3--12},
	title={{Sur les tableaux de corr{\'e}lation dont les marges sont donn{\'e}es, ca}s
	de l'espace {\`a} trois dimensions},
	volume={5},
	year={1956}}

@incollection{embrechtsmcneilstraumann2002,
	author={Embrechts, P. and McNeil, A. J. and Straumann, D.},
	editor={Dempster, M.},
	title={{Correlation and Dependence in Risk Management: Properties and Pitfalls}},
	booktitle={{Risk Management: Value at Risk and Beyond}},
	publisher={Cambridge University Press},
	pages={176--223},
	year={2002}}

@book{folland1999,
	author={Folland, G. B.},
	publisher={Wiley-Interscience},
	title={{Real Analysis: Modern Techniques and Their Applications}},
	year={1999}}

@book{fangkotzng1989,
	author={Fang, K.-T. and Kotz, S. and Ng, K.-W.},
	publisher={Chapman {\&} Hall/CRC},
	title={{Symmetric Multivariate and Related Distributions}},
	year={1989}}

@incollection{limikusinskitaylor2002,
	author={Li, X. and Mikusi{\'n}ski, P. and Taylor, M. D.},
	title={{Some integration-by-parts formulas involving 2-copulas}},
	editor={Cuadras, C. M. and Fortiana, J. and Rodr{\'i}guez-Lallena, J. A.},
	booktitle={{Distributions with Given Marginals and Statistical Modelling}},
	publisher={Kluwer Academic Publishers},
	pages={153--159},
	year={2002}}

@incollection{mikusinskisherwoodtaylor1991,
	author={Mikusi{\'n}ski, P. and Sherwood, H. and Taylor, M. D.},
	title={{Probabilistic interpretations of copulas and their convex sums}},
	editor={Dall'Aglio, G. and Kotz, S. and Salinetti, G.},
	booktitle={{Advances in Probability Distributions with Given Marginals}},
	publisher={Kluwer Academic Publishers},
	pages={95--112},
	year={1991}}

@article{hofert2008,
	author={Hofert, M.},
	journal={Computational Statistics {\&} Data Analysis},
	pages={5163--5174},
	title={{Sampling Archimedean copulas}},
	volume={52},
	number={12},
	year={2008}}

@article{scarsini1984,
	author={Scarsini, M.},
	journal={Stochastica},
	pages={201--218},
	title={{On measures of concordance}},
	volume={8},
	number={3},
	year={1984}}

@article{hofertscherer2010,
	author={Hofert, M. and Scherer, M.},
	title={{CDO pricing with nested Archimedean copulas}},
	journal={Quantitative Finance},
	year={2010},
	issue={1},
	pages={1--13},
	url={http://dx.doi.org/10.1080/14697680903508479},
	urldate={2010-06-09}}

@misc{durantehofertscherer2009,
	author={Durante, F. and Hofert, M. and Scherer, M.},
	journal={Methodology and Computing in Applied Probability},
	title={{Multivariate Hierarchical Copulas with Shocks}},
	year={2009},
	howpublished={\burl{http://dx.doi.org/10.1007/s11009-009-9134-6} (2010-03-16)},
	urldate={2009-10-22}}

@misc{hofert2007,
	author={Hofert, M.},
	title={{Sampling Archimedean copulas}},
	year={2007},
	howpublished={\burl{http://stat.euv-ffo.de/copula_workshop/talks/Hofert.pdf} (2010-03-16)},
	urldate={2008-11-01}}

@article{hofert2010a,
	author={Hofert, M.},
	journal={Computational Statistics {\&} Data Analysis},
	pages={},
	title={{Efficiently sampling nested Archimedean copulas}},
	volume={},
	number={},
	howpublished={http://dx.doi.org/10.1016/j.csda.2010.04.025 (2010-06-10)},
	note={in press},
	year={2010}}

@incollection{hofert2010b,
	author={Hofert, M.},
	editor={Durante, F. and H{\"a}rdle, W. and Jaworski, P. and Rychlik, T.},
	title={{Construction and sampling of nested Archimedean copulas}},
  booktitle={Copula Theory and Its Applications, Proceedings of the Workshop held in Warsaw 25-26 September 2009},
	publisher={Springer},
	pages={},
	volume={},
	number={},
	note={in press},
	year={2010}}

@book{hofert2010c,
	author={Hofert, M.},
	title={{Sampling Nested Archimedean Copulas with Applications to CDO Pricing}},
	year={2010},
	publisher={{S{\"u}dwestdeutscher Verlag f{\"u}r Hochschulschriften AG \& Co.\ KG}}}

@misc{heringhofert2010,
	author={Hering, C. and Hofert, M.},
	journal={},
	pages={},
	title={{Goodness-of-fit tests for Archimedean copulas in large dimensions}},
	volume={},
	number={},
	note={submitted},
	year={2010},
	url={http://www.uni-ulm.de/fileadmin/website_uni_ulm/mawi.inst.zawa/forschung/hering_hofert_2009.pdf},
	urldate={2009-08-16}}

@misc{hofert2009,
	author={Hofert, M.},
	title={{Simulation genesteter Archimedischer Copulas---Ein effizienter Algorithmus zur Simulation hochdimensionaler genesteter Archimedischer Clayton Copulas}},
	note={Poster},
	year={2009}}

@misc{heringhofertmaischerer2009,
	author={Hering, C. and Hofert, M. and Mai, J.-F. and Scherer, M.},
	journal={Journal of Multivariate Analysis},
	pages={},
	title={{Constructing nested Archimedean copulas with L{\'e}vy subordinators}},
	volume={},
	number={},
	note={in press},
	url = {http://dx.doi.org/10.1016/j.jmva.2009.10.005},
	urldate={2009-11-15},
	year={2009}
}

@article{wynn1956,
	author={Wynn, P.},
	journal={Mathematical Proceedings of the Cambridge Philosophical Society},
	pages={663-671},
	title={{On a Procrustean technique for the numerical transformation of slowly convergent sequences and series}},
	volume={52},
	number={4},
	year={1956}}

@misc{choroshaerdleokhrin2009,
	author={Choro{\'s}, B. and H{\"a}rdle, W. and Okhrin, O.},
	journal={Bulletin of the International Statistical Institute},
	pages={},
	title={{CDO Pricing with Copulae}},
	volume={57},
	number={},
	note={},
	year={2009},
	url={http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2009-013.pdf},
	urldate={2009-12-30}}

@misc{hoechtzagst2009,
	author={H{\"o}cht, S. and Zagst, R.},
	journal={},
	pages={},
	title={{Pricing Distressed CDOs with Stochastic Recovery}},
	volume={},
	number={},
	note={},
	year={2009},
	url={http://www.mathfinance.ma.tum.de/papers/Pricing\%20distressed\%20CDOs\%20with\%20stochastic\%20recovery.pdf},
	urldate={2009-12-30}}

@misc{choejang2009,
	author={Choe, G. H. and Jang, H. J.},
	journal={},
	pages={},
	title={{Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas}},
	volume={},
	number={},
	note={submitted},
	year={2009},
	howpublished={\burl{http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1414111} (2010-03-16)},
	urldate={2009-12-30}}

@article{cuadrasauge1981,
	author={Cuadras, C. M. and Aug{\'e}, J.},
	journal={Communications in Statistics---Theory and Methods},
	number={4},
	pages={339--353},
	title={{A continuous general multivariate distribution and its properties}},
	volume={10},
	year={1981}}

@article{vasicek1987,
	author={Vasicek, O.},
	journal={KMV Corporation},
	title={{Probability of loss on loan portfolio}},
	year={1987}}

@misc{morgan1996,
	author={Morgan, J. P.},
	title={{RiskMetrics---Technical document}},
	year={1996},
	howpublished={\burl{http://www.riskmetrics.com/publications/techdocs/rmcovv.html} (2010-03-16)},
	urldate={2008-11-01}}

@article{rathgebersteinerwillinsky2005,
	author={Rathgeber, A. W. and Steiner, M. and Willinsky, C.},
	journal={Zeitschrift f{\"u}r Bankrecht und Bankwirtschaft},
	pages={152--165},
	title={{Die Entwicklung des Kreditrisikomanagements in deutschen Banken}},
	volume={3},
	year={2005}}

@article{okanelivesey2004,
	author={O'Kane, D. and Livesey, M.},
	journal={Quantitative Credit Research Quarterly},
	title={{Base Corralation Explained}},
	volume={3},
	year={2004}}

@article{hullwhite2004,
	author={Hull, J. and White, A.},
	journal={Journal of Derivatives},
	number={2},
	pages={8--23},
	title={{Valuation of a CDO and an n-th to Default CDS without Monte Carlo Simulation}},
	volume={12},
	year={2004}}

@article{gregorylaurent2004,
	author={Gregory, J. and Laurent, J.-P.},
	journal={RISK},
	number={10},
	pages={87--91},
	title={{In the Core of Correlation}},
	volume={17},
	year={2004}}

@misc{elizalde2006,
	author={Elizalde, A.},
	title={{Credit risk models IV: Understanding and pricing CDOs}},
	year={2006},
	howpublished={\burl{ftp://ftp.cemfi.es/wp/06/0608.pdf} (2010-03-16)},
	urldate={2008-11-01}}

@misc{bystroem2005,
	author={Bystroem, H.},
	title={{Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market}},
	year={2005},
	howpublished={\burl{http://www.nek.lu.se/publications/workpap/Papers/WP05_24.pdf} (2010-03-16)},
	urldate={2008-11-01}}

@misc{schmitz2003,
	author={Schmitz, V.},
	title={{Copulas and Stochastic Processes}},
	note={PhD thesis},
	institution={Rheinisch-Westf{\"a}lische Technische Hochschule Aachen},
	year={2003},
	howpublished={\burl{http://darwin.bth.rwth-aachen.de/opus3/volltexte/2004/935/pdf/Schmitz_Volker.pdf} (2010-03-16)},
	urldate={2009-12-30}}

@thesis{okhrin2007,
	author={Okhrin, O.},
	title={{Hierarchical Archimedean copulas: Structure determination, properties, applications}},
	note={PhD thesis},
	institution={Europa-Universit{\"a}t Viadrina Frankfurt (Oder)},
	year={2007}
}

@misc{okhrinokhrinschmid2009,
	author={Okhrin, O. and Okhrin, Y. and Schmid, W.},
	title={{Properties of Hierarchical Archimedean copulas}},
	year={2009},
	howpublished={\burl{http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2009-014.pdf} (2010-03-16)},
  urldate={2010-01-15}}

@misc{neslehova2004,
	author={Ne{\v{s}}lehov{\'a}, J.},
	title={{Dependence of Non-Continuous Random Variables}},
	note={PhD thesis},
	institution={Carl von Ossietzky Universit{\"a}t Oldenburg},
	year={2004},
	howpublished={\burl{http://www.staff.uni-oldenburg.de/dietmar.pfeifer/JohannaDiss.pdf} (2010-03-16)},
	urldate={2009-03-09}}

@article{neslehova2007,
	author={Ne{\v{s}}lehov{\'a}, J.},
	journal={Journal of Multivariate Analysis},
	number={98},
	pages={544--567},
	title={{On rank correlation measures for non-continuous random variables}},
	year={2007}}

@article{burtschellgregorylaurent2007,
	author={Burtschell, X. and Gregory, J. and Laurent, J.-P.},
	journal={Journal of Credit Risk},
	number={1},
	pages={31--62},
	title={{Beyond the Gaussian Copula: Stochastic and Local Correlation}},
	volume={3},
	year={2007}}

@article{batchavarovdaviesdavletova2005,
	author={Batchvarov, A. and Davies, W. and Davletova, A.},
	journal={Journal of Structured Finance},
	pages={28--31},
	title={{In the Search for Better Yields, a CDO of CDOs Emerges}},
	year={2005}}

@article{gregorylaurent2003,
	author={Gregory, J. and Laurent, J.-P.},
	journal={Risk},
	pages={103--107},
	title={{I will survive}},
	volumen={6},
	year={2003}}

@article{daviesmartin1979,
	author={Davies, B. and Martin, B.},
	journal={Journal of Computational Physics},
	pages={1--32},
	title={{Numerical Inversion of the Laplace Transform: A Survey and Comparison of Methods}},
	volume={33},
	number={1},
	year={1979}}

@article{britishbankersassociation2006,
	author={Barrett, R. and Ewan, J.},
	journal={British Bankers' Association},
	title={{British Bankers' Association---Credit Derivatives Report 2006}},
	year={2006}}

@article{bis2007,
	author={{Bank for International Settlements}},
	title={{Triennial and semiannual surveys on positions in global over-the-counter (OTC) derivatives markets at end-June 2007}},
	volume={6},
	year={2007}}

@misc{sifma2009,
	author={{Securities Industry and Financial Markets Association}},
	title={{Global CDO Issuance}},
	howpublished={\burl{http://www.sifma.org/uploadedFiles/Research/Statistics/SIFMA_GlobalCDOData.pdf} (2010-03-16)},
	urldate={2009-12-19},
	year={2009}}

@misc{flanagansam2002,
	author={Flanagan, C. and Sam, T.},
	title={{CDO Handbook}},
	howpublished={\burl{http://www2.wu-wien.ac.at/vgsf/curriculum/CDO%20Handbook.pdf} (2010-03-16)},
	urldate={2009-12-30},
	year={2002}}

@misc{duffie2007,
	author={Duffie, D.},
	title={{Innovations in Credit Risk Transfer: Implications for Financial Stability}},
	howpublished={\burl{http://www.stanford.edu/~duffie/BIS.pdf} (2010-03-16)},
	urldate={2009-12-30},
	year={2007}}

@article{andersensideniusbasu2003,
	author={Andersen, L. and Sidenius, J. and Basu, S.},
	journal={RISK},
	number={11},
	pages={67--72},
	title={{All your Hedges in one Basket}},
	volume={16},
	year={2003}}

@misc{donnellyembrechts2009,
	author={Donnelly, C. and Embrechts, P.},
	journal={},
	number={},
	pages={},
	note={submitted},
	title={{The devil is in the tails: actuarial mathematics and the subprime mortgage crisis}},
	volume={},
	howpublished={\burl{http://www.math.ethz.ch/~donnelly/devil09.pdf} (2010-03-16)},
	urldate={2009-12-30},
	year={2009}}

@article{alexanderkaeck2008,
	author={Alexander, C. and Kaeck, A.},
	journal={Journal of Banking and Finance},
	number={6},
	pages={1008--1021},
	title={{Regime dependent derterminants of credit default swap spreads}},
	volume={32},
	year={2008}}

@misc{demartamcneil2004,
	author={Demarta, S. and McNeil, A. J.},
	title={{The $t$ Copula and Related Copulas}},
	year={2004},
	howpublished={\burl{http://www.math.ethz.ch/~mcneil/ftp/tCopula.pdf} (2010-03-16)},
	urldate={2009-12-30}}

@book{alexander1998,
	author={Alexander, C.},
	publisher={Wiley},
	title={{Risk Management and Analysis}},
	subtitle={{Measuring and Modelling Financial Risk}},
	volume={1},
	year={1998}}

@book{vandervaartwellner1996,
	author={van der Vaart, A. and Wellner, J.},
	publisher={Springer},
	title={{Weak Convergence and Empirical Processes}},
	subtitle={{With Applications to Statistics}},
	year={1996}}

@book{kurowickacooke2006,
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@misc{embrechtslindskogmcneil2001,
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	urldate={2009-12-30}}

@misc{lindskogmcneilschmock2002,
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	year={2002},
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	urldate={2009-12-30}}

@book{doetsch1970,
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@misc{marsagliamarsaglia2004,
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