ENGLISH

Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

By Jan-Frederik Mai , Matthias Scherer

Book information

Publisher
World Scientific Publishing Company
Year
2017
ISBN
978-981-3149-24-3, 9813149248, 9789813149991, 981314999X
Language
english
Format
PDF
Filesize
4 MB (4155008 bytes)
Series
Series in quantitative finance 6
Edition
2nd Edition
Pages
356\353
Library
kolxoz
Time added
2018-06-05 18:02:38
Copulas (Mathematical statistics);Stochastic model

Description

The book provides the 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 graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology. Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists

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