Simulating copulas: stochastic models, sampling algorithms and applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore
World Scientific
©2012
|
| Series: | Series in quantitative finance
v. 4 |
| Subjects: | |
| Online Access: | FAW01 FAW02 Volltext |
| Item Description: | 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 |
| Physical Description: | 1 Online-Ressource (xiv, 295 pages) |
| ISBN: | 1281603511 1848168756 9781281603517 9781848168756 |
Staff View
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV043146775 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151126s2012 |||| o||u| ||||||eng d | ||
| 020 | |a 1281603511 |9 1-281-60351-1 | ||
| 020 | |a 1848168756 |c electronic bk. |9 1-84816-875-6 | ||
| 020 | |a 9781281603517 |9 978-1-281-60351-7 | ||
| 020 | |a 9781848168756 |c electronic bk. |9 978-1-84816-875-6 | ||
| 035 | |a (OCoLC)802330740 | ||
| 035 | |a (DE-599)BVBBV043146775 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1046 |a DE-1047 | ||
| 082 | 0 | |a 519.5/35 |2 23 | |
| 084 | |a QH 233 |0 (DE-625)141548: |2 rvk | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a SK 800 |0 (DE-625)143256: |2 rvk | ||
| 084 | |a SK 830 |0 (DE-625)143259: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Mai, Jan-Frederik |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Simulating copulas |b stochastic models, sampling algorithms and applications |c Jan-Frederik Mai, Matthias Scherer |
| 264 | 1 | |a Singapore |b World Scientific |c ©2012 | |
| 300 | |a 1 Online-Ressource (xiv, 295 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 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 | ||
| 650 | 7 | |a MATHEMATICS / Probability & Statistics / Multivariate Analysis |2 bisacsh | |
| 650 | 7 | |a Copulas (Mathematical statistics) |2 fast | |
| 650 | 7 | |a Stochastic models |2 fast | |
| 650 | 4 | |a Copulas (Mathematical statistics) | |
| 650 | 4 | |a Stochastic models | |
| 650 | 0 | 7 | |a Stochastisches Modell |0 (DE-588)4057633-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kopula |g Mathematik |0 (DE-588)4529954-7 |D s |
| 689 | 0 | 1 | |a Stochastisches Modell |0 (DE-588)4057633-4 |D s |
| 689 | 0 | |8 1\p |5 DE-604 | |
| 700 | 1 | |a Scherer, Matthias |e Sonstige |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe, Hardcover |z 1-84816-874-8 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe, Hardcover |z 978-1-84816-874-9 |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBA | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028570966 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878 |l FAW01 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878 |l FAW02 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
Record in the Search Index
| _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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03375nmm a2200613zcb4500</leader><controlfield tag="001">BV043146775</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151126s2012 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1281603511</subfield><subfield code="9">1-281-60351-1</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1848168756</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">1-84816-875-6</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781281603517</subfield><subfield code="9">978-1-281-60351-7</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781848168756</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-1-84816-875-6</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)802330740</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043146775</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">519.5/35</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 233</subfield><subfield code="0">(DE-625)141548:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 800</subfield><subfield code="0">(DE-625)143256:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 830</subfield><subfield code="0">(DE-625)143259:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Mai, Jan-Frederik</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Simulating copulas</subfield><subfield code="b">stochastic models, sampling algorithms and applications</subfield><subfield code="c">Jan-Frederik Mai, Matthias Scherer</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Singapore</subfield><subfield code="b">World Scientific</subfield><subfield code="c">©2012</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (xiv, 295 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Series in quantitative finance</subfield><subfield code="v">v. 4</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references (pages 283-292) and index</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="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</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">MATHEMATICS / Probability & Statistics / Multivariate Analysis</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Copulas (Mathematical statistics)</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastic models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Copulas (Mathematical statistics)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stochastic models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastisches Modell</subfield><subfield code="0">(DE-588)4057633-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kopula</subfield><subfield code="g">Mathematik</subfield><subfield code="0">(DE-588)4529954-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Stochastisches Modell</subfield><subfield code="0">(DE-588)4057633-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Scherer, Matthias</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe, Hardcover</subfield><subfield code="z">1-84816-874-8</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe, Hardcover</subfield><subfield code="z">978-1-84816-874-9</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028570966</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878</subfield><subfield code="l">FAW01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878</subfield><subfield code="l">FAW02</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| 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 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 |
| 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 |
| publishDateSearch | 2012 |
| 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 |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=479878 |
| work_keys_str_mv | AT maijanfrederik simulatingcopulasstochasticmodelssamplingalgorithmsandapplications AT scherermatthias simulatingcopulasstochasticmodelssamplingalgorithmsandapplications |