Umeorah Nneka received her BSc degree in Mathematics at the University of Nigeria, in 2012. She obtained a research Masters in Risk Analysis and an MSc in Mathematical Sciences, both in South Africa. She visited Germany in 2018 for a six-month research visit under the sponsorship of the DAAD. She is currently a PhD student at the Unit for Business Mathematics and Informatics, North-West University, Potchefstroom Campus, South Africa. Her research interests are financial mathematics (derivatives pricing), statistical risk analysis and numerical analysis.
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.