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Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics

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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Hardcover) Loot Price: R2,796
Discovery Miles 27 960
Repayment Terms: R262 pm x 12*
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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Hardcover)

Matthias Scherer, Jan-Frederik Mai

Series: Series In Quantitative Finance, 4

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Loot Price R2,796 Discovery Miles 27 960 | Repayment Terms: R262 pm x 12*

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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.

General

Imprint: Imperial College Press
Country of origin: United Kingdom
Series: Series In Quantitative Finance, 4
Release date: September 2012
First published: June 2012
Authors: Matthias Scherer • Jan-Frederik Mai
Dimensions: 232 x 155 x 21mm (L x W x T)
Format: Hardcover
Pages: 295
ISBN-13: 978-1-84816-874-9
Categories: Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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LSN: 1-84816-874-8
Barcode: 9781848168749

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