Simulating Copulas: Stochastic Models, Sampling Algorithms,...

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Simulating Copulas: Stochastic Models,...

Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Name: Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications
ISBN: 9789813149243

Jan-Frederik Mai, Matthias Scherer

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The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.

Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.

Thể loại:

Mathematics

Năm:

2017

In lần thứ:

2nd

Nhà xuát bản:

World Scientific

Ngôn ngữ:

english

Trang:

356