Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications - Couverture rigide

Mai, Jan-frederik; Scherer, Matthias

 
9789813149243: Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications
Couverture rigide
ISBN 10 : 9813149248 ISBN 13 : 9789813149243
Editeur : World Scientific Publishing Co Pte Ltd, 2017

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Dr Jan-Frederik Mai works as quantitative analyst at XAIA Investment in Munich, and earned his PhD in Financial Mathematics at the Technical University of Munich. He has published research articles with a focus on financial applications, and also within the field of dependence modeling. In particular, he co-authored the book Financial Engineering with Copulas Explained.

Dr Matthias Scherer is a Professor of Mathematical Finance at the Technical University of Munich. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning dependence modeling, he has published research articles on the construction, simulation, estimation, and application of copulas. He is an active member of the board of the DGVFM and serves as associate editor of the journal Dependence Modeling. He co-authored the book Financial Engineering with Copulas Explained.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2017
Langue
anglais
ISBN 10 
9813149248
ISBN 13 
9789813149243
Reliure
Relié
Numéro d'édition
2
Nombre de pages
356
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9789813149991: Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications

Edition présentée

ISBN 10 :  981314999X ISBN 13 :  9789813149991
Editeur : World Scientific Publishing Co P..., 2017
Couverture souple