Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications

Matthias Scherer, Jan-Frederik Mai (Autoren)

Buch | Hardcover

312 Seiten

2012
Imperial College Press (Verlag)
9781848168749 (ISBN)

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Provides you with a background on simulating copulas and multivariate distributions in general. This title unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, and more) as well as on different construction principles (factor models, pair-copula construction, and more).

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.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.

General Introduction to Copulas; Univariate Sampling Schemes; Introduction to Monte Carlo Techniques; Elliptical Copulas; Archimedean Copulas; Marshall-Olkin Copulas; Pair-Copula Construction; Applications.

Reihe/Serie	Series In Quantitative Finance ; 4
Verlagsort	London
Sprache	englisch
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-13	9781848168749 / 9781848168749
Zustand	Neuware