Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Series In Quantitative Finance 4)

Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Series In Quantitative Finance 4)

By: Matthias Scherer (author), Jan-Frederik Mai (author)Hardback

Up to 2 WeeksUsually despatched within 2 weeks

Description

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.Errata(s)Errata (128 KB)

Contents

General Introduction to Copulas; Univariate Sampling Schemes; Introduction to Monte Carlo Techniques; Elliptical Copulas; Archimedean Copulas; Marshall-Olkin Copulas; Pair-Copula Construction; Applications.

Product Details

  • ISBN13: 9781848168749
  • Format: Hardback
  • Number Of Pages: 312
  • ID: 9781848168749
  • ISBN10: 1848168748

Delivery Information

  • Saver Delivery: Yes
  • 1st Class Delivery: Yes
  • Courier Delivery: Yes
  • Store Delivery: Yes

Prices are for internet purchases only. Prices and availability in WHSmith Stores may vary significantly

Close