Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (eBook)

Stochastic Models, Sampling Algorithms and Applications

Matthias Scherer, Jan-Frederik Mai (Autoren)

eBook Download: PDF

2012
312 Seiten
World Scientific Publishing Company (Verlag)
978-1-84816-875-6 (ISBN)

Infos

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.Errata(s)Errata (128 KB)Sample Chapter(s)Chapter 1: Introduction (1,016 KB)Chapter 4: Elliptical Copulas (857 KB)Contents:IntroductionArchimedean CopulasMarshall–Olkin CopulasElliptical CopulasPair Copula ConstructionsSampling Univariate Random VariablesThe Monte Carlo MethodReadership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.

Produkt-Details

• Erscheint lt. Verlag: 26.6.2012
• Reihe/Serie: Series In Quantitative Finance
• Verlagsort: Singapore
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• ISBN-10: 1-84816-875-6 / 1848168756
• ISBN-13: 978-1-84816-875-6 / 9781848168756