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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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Bibliographic Details
Main Authors:	Mai, Jan-Frederik (Author), Scherer, Matthias (Author)
Format:	Book
Language:	English
Published:	Hackensack, NJ World Scientific Pub. 2017
Edition:	Second edition.
Series:	Series in quantitative finance
Subjects:	Copulas (Mathematical statistics) Stochastic models.
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