Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Hardcover)

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:	August 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
LSN:	1-84816-874-8
Barcode:	9781848168749

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!