Simulating Copulas - Stochastic Models, Sampling Algorithms and Applications

Klappentext 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. Zusammenfassung Provides you with a background on simulating copulas and multivariate distributions in general. This title unifies the scattered literature on the simulation of various families of copulas (elliptical! Archimedean! Marshall-Olkin type! and more) as well as on different construction principles (factor models! pair-copula construction! and more). Inhaltsverzeichnis General Introduction to Copulas; Univariate Sampling Schemes; Introduction to Monte Carlo Techniques; Elliptical Copulas; Archimedean Copulas; Marshall-Olkin Copulas; Pair-Copula Construction; Applications.

Produktdetails

• Autoren: Jan-Frederik Mai & Matthias Scherer, Jan-Frederik Mai, Jan-Frederik Scherer Mai, Matthias Scherer
• Verlag: Imperial College Press
• Sprache: Englisch
• Produktform: Fester Einband
• Erschienen: 23.08.2012
• EAN: 9781848168749
• ISBN: 978-1-84816-874-9
• Seiten: 312
• Serie: Series In Quantitative Finance
• Thema: Naturwissenschaften, Medizin, Informatik, Technik > Mathematik > Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik