Copulae in mathematical and quantitative finance: proceedings of the workshop held in Cracow, 10 - 11 July 2012
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
|
| Schriftenreihe: | Lecture notes in statistics
213 : Proceedings |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XII, 294 S. Ill., graph. Darst., Kt. 235 mm x 155 mm |
| ISBN: | 3642354068 9783642354069 |
Internformat
MARC
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Datensatz im Suchindex
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CONTENTS
1 A CONVOLUTION-BASED AUTOREGRESSIVE PROCESS 1
UMBERTO CHERUBINI AND FABIO GOBBI
2 SELECTION OF VINE COPULAS 17
CLAUDIA CZADO, EIKE CHRISTIAN BRECHMANN, AND LUTZ GRUBER
3 COPULAS IN MACHINE LEARNING 39
GAL ELIDAN
4 AN OVERVIEW OF THE GOODNESS-OF-FIT TEST PROBLEM FOR COPULAS 61
JEAN-DAVID FERMANIAN
5 ASSESSING AND MODELING ASYMMETRY IN BIVARIATE
CONTINUOUS DATA 91
CHRISTIAN GENEST AND JOHANNA G. NESLEHOVA
6 MODELING TIME-VARYING DEPENDENCIES BETWEEN
POSITIVE-VALUED HIGH-FREQUENCY TIME SERIES 115
NIKOLAUS HAUTSCH, OSTAP OKHRIN, AND ALEXANDER RISTIG
7 THE LIMITING PROPERTIES OF COPULAS UNDER UNIVARIATE
CONDITIONING 129
PIOTR JAWORSKI
8 SINGULAR MIXTURE COPULAS 165
DOMINIC LAUTERBACH AND DIETMAR PFEIFER
9 TOWARD A COPULA THEORY FOR MULTIVARIATE REGULAR VARIATION 177
HAIJUN LI
10 CUD FRAILTY MODELS AND IMPLIED COPULAS 201
JAN-FREDERIK MAI, MATTHIAS SCHERER, AND RUDI ZAGST
11 COPULA-BASED MODELS FOR MULTIVARIATE DISCRETE RESPONSE DATA 231
ARISTIDIS K. NIKOLOULOPOULOS
IX
HTTP://D-NB.INFO/1027633838
X CONTENTS
12 VECTOR GENERALIZED LINEAR MODELS: A GAUSSIAN COPULA
APPROACH 251
PETER X.-K. SONG, MINGYAO LI, AND PENG ZHANG
13 APPLICATION OF BERNSTEIN COPULAS TO THE PRICING
OF MULTI-ASSET DERIVATIVES 277
BERTRAND TAVIN
INDEX 289 |
| any_adam_object | 1 |
| author_GND | (DE-588)103680063 |
| building | Verbundindex |
| bvnumber | BV041159470 |
| classification_rvk | SI 856 |
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| dewey-full | 332.01519535 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01519535 |
| dewey-search | 332.01519535 |
| dewey-sort | 3332.01519535 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV041159470 |
| illustrated | Illustrated |
| indexdate | 2024-09-10T00:59:20Z |
| institution | BVB |
| isbn | 3642354068 9783642354069 |
| language | English |
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| physical | XII, 294 S. Ill., graph. Darst., Kt. 235 mm x 155 mm |
| publishDate | 2013 |
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| publisher | Springer |
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| series | Lecture notes in statistics |
| series2 | Lecture notes in statistics |
| spelling | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 Piotr Jaworski ... ed. Berlin [u.a.] Springer 2013 XII, 294 S. Ill., graph. Darst., Kt. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Lecture notes in statistics 213 : Proceedings Multivariate Analyse (DE-588)4040708-1 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)1071861417 Konferenzschrift gnd-content Finanzmathematik (DE-588)4017195-4 s Ökonometrie (DE-588)4132280-0 s Multivariate Analyse (DE-588)4040708-1 s Kopula Mathematik (DE-588)4529954-7 s DE-604 Jaworski, Piotr Sonstige (DE-588)103680063 oth Erscheint auch als Online-Ausgabe 978-3-642-35407-6 Lecture notes in statistics 213 : Proceedings (DE-604)BV002447846 213 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4175116&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026134755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 Lecture notes in statistics Multivariate Analyse (DE-588)4040708-1 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4040708-1 (DE-588)4132280-0 (DE-588)4017195-4 (DE-588)4529954-7 (DE-588)4143413-4 (DE-588)1071861417 |
| title | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 |
| title_auth | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 |
| title_exact_search | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 |
| title_full | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 Piotr Jaworski ... ed. |
| title_fullStr | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 Piotr Jaworski ... ed. |
| title_full_unstemmed | Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10 - 11 July 2012 Piotr Jaworski ... ed. |
| title_short | Copulae in mathematical and quantitative finance |
| title_sort | copulae in mathematical and quantitative finance proceedings of the workshop held in cracow 10 11 july 2012 |
| title_sub | proceedings of the workshop held in Cracow, 10 - 11 July 2012 |
| topic | Multivariate Analyse (DE-588)4040708-1 gnd Ökonometrie (DE-588)4132280-0 gnd Finanzmathematik (DE-588)4017195-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | Multivariate Analyse Ökonometrie Finanzmathematik Kopula Mathematik Aufsatzsammlung Konferenzschrift |
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| volume_link | (DE-604)BV002447846 |
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