Mashele Phillip received his PhD in Mathematics at the University of Witwatersrand, South Africa, in 2001. He was a post-doct fellow at the Hungary Academy of Sciences in 2002. He worked at Metropolitan Asset Management, South Africa, as a quantitative analyst in 2008. He is currently an associate professor (since 2008) at the Centre for Business Mathematics and Informatics, North-West University, Potchefstroom Campus, South Africa. His research expertise is in functional analysis, approximation theory and pricing of derivatives.
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.