Simulating copulas: stochastic models, sampling algorithms and applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific
©2012
|
| Schriftenreihe: | Series in quantitative finance
v. 4 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | Includes bibliographical references (pages 283-292) and index 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 |
| Beschreibung: | 1 Online-Ressource (xiv, 295 pages) |
| ISBN: | 1281603511 1848168756 9781281603517 9781848168756 |
Internformat
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| 245 | 1 | 0 | |a Simulating copulas |b stochastic models, sampling algorithms and applications |c Jan-Frederik Mai, Matthias Scherer |
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| 490 | 0 | |a Series in quantitative finance |v v. 4 | |
| 500 | |a Includes bibliographical references (pages 283-292) and index | ||
| 500 | |a 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 | ||
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Datensatz im Suchindex
| _version_ | 1804175601797431296 |
|---|---|
| any_adam_object | |
| author | Mai, Jan-Frederik |
| author_facet | Mai, Jan-Frederik |
| author_role | aut |
| author_sort | Mai, Jan-Frederik |
| author_variant | j f m jfm |
| building | Verbundindex |
| bvnumber | BV043146775 |
| classification_rvk | QH 233 QP 890 SK 800 SK 830 SK 980 |
| collection | ZDB-4-EBA |
| ctrlnum | (OCoLC)802330740 (DE-599)BVBBV043146775 |
| dewey-full | 519.5/35 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.5/35 |
| dewey-search | 519.5/35 |
| dewey-sort | 3519.5 235 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043146775 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:18:53Z |
| institution | BVB |
| isbn | 1281603511 1848168756 9781281603517 9781848168756 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028570966 |
| oclc_num | 802330740 |
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| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xiv, 295 pages) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA |
| publishDate | 2012 |
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| publishDateSort | 2012 |
| publisher | World Scientific |
| record_format | marc |
| series2 | Series in quantitative finance |
| spelling | Mai, Jan-Frederik Verfasser aut Simulating copulas stochastic models, sampling algorithms and applications Jan-Frederik Mai, Matthias Scherer Singapore World Scientific ©2012 1 Online-Ressource (xiv, 295 pages) txt rdacontent c rdamedia cr rdacarrier Series in quantitative finance v. 4 Includes bibliographical references (pages 283-292) and index 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 MATHEMATICS / Probability & Statistics / Multivariate Analysis bisacsh Copulas (Mathematical statistics) fast Stochastic models fast Copulas (Mathematical statistics) Stochastic models Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 s Stochastisches Modell (DE-588)4057633-4 s 1\p DE-604 Scherer, Matthias Sonstige oth Erscheint auch als Druck-Ausgabe, Hardcover 1-84816-874-8 Erscheint auch als Druck-Ausgabe, Hardcover 978-1-84816-874-9 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mai, Jan-Frederik Simulating copulas stochastic models, sampling algorithms and applications MATHEMATICS / Probability & Statistics / Multivariate Analysis bisacsh Copulas (Mathematical statistics) fast Stochastic models fast Copulas (Mathematical statistics) Stochastic models Stochastisches Modell (DE-588)4057633-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4529954-7 |
| title | Simulating copulas stochastic models, sampling algorithms and applications |
| title_auth | Simulating copulas stochastic models, sampling algorithms and applications |
| title_exact_search | Simulating copulas stochastic models, sampling algorithms and applications |
| title_full | Simulating copulas stochastic models, sampling algorithms and applications Jan-Frederik Mai, Matthias Scherer |
| title_fullStr | Simulating copulas stochastic models, sampling algorithms and applications Jan-Frederik Mai, Matthias Scherer |
| title_full_unstemmed | Simulating copulas stochastic models, sampling algorithms and applications Jan-Frederik Mai, Matthias Scherer |
| title_short | Simulating copulas |
| title_sort | simulating copulas stochastic models sampling algorithms and applications |
| title_sub | stochastic models, sampling algorithms and applications |
| topic | MATHEMATICS / Probability & Statistics / Multivariate Analysis bisacsh Copulas (Mathematical statistics) fast Stochastic models fast Copulas (Mathematical statistics) Stochastic models Stochastisches Modell (DE-588)4057633-4 gnd Kopula Mathematik (DE-588)4529954-7 gnd |
| topic_facet | MATHEMATICS / Probability & Statistics / Multivariate Analysis Copulas (Mathematical statistics) Stochastic models Stochastisches Modell Kopula Mathematik |
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