Simulating copulas stochastic models, sampling algorithms and applications
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 (...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London
Imperial College Press
c2012
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| Schriftenreihe: | Series in quantitative finance
v. 4 |
| Schlagworte: | |
| Online-Zugang: | FHN01 URL des Erstveroeffentlichers |
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| Zusammenfassung: | 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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| Beschreibung: | xiv, 295 p. ill |
| ISBN: | 9781848168756 |