Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications
Jan-Frederik Mai, Matthias Scherer
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, and more) as well as on different construction principles (factor models, pair-copula construction, and more). 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.
الفئات:
عام:
2012
الناشر:
Imperial College Press
اللغة:
english
الصفحات:
295
ISBN 10:
1848168748
ISBN 13:
9781848168749
سلسلة الكتب:
Series in Quantitative Finance 4
ملف:
PDF, 2.97 MB
IPFS:
,
english, 2012