Holdings: Copulae in mathematical and quantitative finance

Copulae in mathematical and quantitative finance: proceedings of the workshop held in Cracow, 10 - 11 July 2012

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Bibliographic Details
Format:	Book
Language:	English
Published:	Berlin [u.a.] Springer 2013
Series:	Lecture notes in statistics 213 : Proceedings
Subjects:	Multivariate Analyse Ökonometrie Finanzmathematik Kopula > Mathematik Aufsatzsammlung Konferenzschrift
Online Access:	Inhaltstext Inhaltsverzeichnis
Physical Description:	XII, 294 S. Ill., graph. Darst., Kt. 235 mm x 155 mm
ISBN:	3642354068 9783642354069

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MARC


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Record in the Search Index

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adam_text	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
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ctrlnum	(OCoLC)824664574 (DE-599)DNB1027633838
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
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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
url	http://deposit.dnb.de/cgi-bin/dokserv?id=4175116&prov=M&dok_var=1&dok_ext=htm 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
volume_link	(DE-604)BV002447846
work_keys_str_mv	AT jaworskipiotr copulaeinmathematicalandquantitativefinanceproceedingsoftheworkshopheldincracow1011july2012

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