Simulating copulas stochastic models, sampling algorithms, and applications
This book provides the reader with a 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 (...
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| Main Authors: | , |
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| Format: | Book |
| Language: | English |
| Published: |
Hackensack, NJ
World Scientific Pub.
2017
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| Edition: | Second edition. |
| Series: | Series in quantitative finance
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| Subjects: | |
| Tags: |
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| Summary: | This book provides the reader with a 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.). Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology. |
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| Physical Description: | xvii, 338 pages illustrations 24 cm. |
| Bibliography: | Includes bibliographical references (pages 323-334) and index. |
| ISBN: | 9789813149243 (hardcover) 9813149248 (hardcover) |