ENGLISH

Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

By Jan-Frederik Mai , Matthias Scherer

Book information

Publisher
World Scientific
Year
2017
ISBN
9813149248, 9789813149243
Language
english
Format
PDF
Filesize
7 MB (7140077 bytes)
Series
Series in Quantitative Finance
Edition
2nd
Pages
356\357
Time added
2018-02-06 13:36:03
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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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