SIMULATING COPULAS: STOCH MODEL, SAMPL..: 4 (Series In Quantitative Finance) - Hardcover

Mai, Jan-Frederik; JAN-FREDERIK MAI & MATTHIAS SCHERER; Scherer, Matthias

 
9781848168749: SIMULATING COPULAS: STOCH MODEL, SAMPL..: 4 (Series In Quantitative Finance)
Hardcover
ISBN 10: 1848168748 ISBN 13: 9781848168749
Verlag: ICP, 2012

Inhaltsangabe

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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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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
ICP
Erscheinungsdatum
2012
Sprache
Englisch
ISBN 10 
1848168748
ISBN 13 
9781848168749
Einband
Tapa dura
Anzahl der Seiten
312
Kontakt zum Hersteller
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Verantwortliche Person
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