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: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hackensack, NJ
World Scientific Pub.
2017
|
| Edition: | Second edition. |
| Series: | Series in quantitative finance
|
| Subjects: | |
| Tags: |
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| 020 | |a 9813149248 (hardcover) | ||
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| 090 | |a QA 273.6 |b .M35 2017 | ||
| 100 | 1 | |a Mai, Jan-Frederik, |e author. | |
| 245 | 1 | 0 | |a Simulating copulas |b stochastic models, sampling algorithms, and applications |c Jan-Frederik Mai, Matthias Scherer ; with contributions by Claudia Czado, Elke Korn, Ralf Korn, Jakob Stober. |
| 250 | |a Second edition. | ||
| 264 | 1 | |a Hackensack, NJ |b World Scientific Pub. |c 2017 | |
| 300 | |a xvii, 338 pages |b illustrations |c 24 cm. | ||
| 336 | |a text |2 rdacontent | ||
| 337 | |a unmediated |2 rdamedia | ||
| 338 | |a volume |2 rdacarrier | ||
| 490 | 1 | |a Series in quantitative finance | |
| 504 | |a Includes bibliographical references (pages 323-334) and index. | ||
| 520 | |a 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. | ||
| 592 | |a 37706 |b 26/08/2019 |c RM 467.12 |h Bookline | ||
| 650 | 0 | |a Copulas (Mathematical statistics) | |
| 650 | 0 | |a Stochastic models. | |
| 700 | 1 | |a Scherer, Matthias, |e author. | |
| 830 | 0 | |a Series in quantitative finance | |
| 999 | |a vtls000063783 |c 54064 |d 54064 | ||