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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Hardcover, Second Edition)
Loot Price: R3,457
Discovery Miles 34 570
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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Hardcover, Second Edition)
Series: Series In Quantitative Finance, 6
Expected to ship within 10 - 15 working days
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'The book remains a valuable tool both for statisticians who are
already familiar with the theory of copulas and just need to
develop sampling algorithms, and for practitioners who want to
learn copulas and implement the simulation techniques needed to
exploit the potential of copulas in applications.'Mathematical
ReviewsThe 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.
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