Simulating Copulas : Stochastic Models, Sampling Algorithms, and Applications
Product Code:
9789813149243
ISBN13:
9789813149243
Condition:
New
$135.44
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.
| Author: Jan-Frederik Mai, Matthias Scherer |
| Publisher: Quantitative Finance |
| Publication Date: Aug 02, 2017 |
| Number of Pages: 356 pages |
| Language: English |
| Binding: Hardcover |
| ISBN-10: 9813149248 |
| ISBN-13: 9789813149243 |
Simulating Copulas : Stochastic Models, Sampling Algorithms, and Applications
$135.44
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.
| Author: Jan-Frederik Mai, Matthias Scherer |
| Publisher: Quantitative Finance |
| Publication Date: Aug 02, 2017 |
| Number of Pages: 356 pages |
| Language: English |
| Binding: Hardcover |
| ISBN-10: 9813149248 |
| ISBN-13: 9789813149243 |
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