Simulating copulas: stochastic models, sampling algorithms and applications
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 (...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
London
Imperial College Press
c2012
|
| Series: | Series in quantitative finance
v. 4 |
| Subjects: | |
| Online Access: | FHN01 Volltext |
| Summary: | 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: | xiv, 295 p. ill |
| ISBN: | 9781848168756 |
Staff View
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| id | DE-604.BV044633530 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:57:42Z |
| institution | BVB |
| isbn | 9781848168756 |
| language | English |
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| physical | xiv, 295 p. ill |
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| spelling | Mai, Jan-Frederik Verfasser aut Simulating copulas stochastic models, sampling algorithms and applications Jan-Frederik Mai, Matthias Scherer London Imperial College Press c2012 xiv, 295 p. ill txt rdacontent c rdamedia cr rdacarrier Series in quantitative finance v. 4 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 Distribution (Probability theory) Copulas (Mathematical statistics) Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 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 1848168748 Erscheint auch als Druck-Ausgabe 9781848168749 http://www.worldscientific.com/worldscibooks/10.1142/P842#t=toc Verlag URL des Erstveroeffentlichers 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 Distribution (Probability theory) Copulas (Mathematical statistics) Kopula Mathematik (DE-588)4529954-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| subject_GND | (DE-588)4529954-7 (DE-588)4057633-4 |
| 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 | Distribution (Probability theory) Copulas (Mathematical statistics) Kopula Mathematik (DE-588)4529954-7 gnd Stochastisches Modell (DE-588)4057633-4 gnd |
| topic_facet | Distribution (Probability theory) Copulas (Mathematical statistics) Kopula Mathematik Stochastisches Modell |
| url | http://www.worldscientific.com/worldscibooks/10.1142/P842#t=toc |
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