Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications PDF
by Scherer Matthias Scherer, Mai Jan-frederik Mai
Part of the Series In Quantitative Finance series
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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.
Information
-
Download - Immediately Available
- Format:PDF
- Pages:312 pages
- Publisher:World Scientific Publishing Company
- Publication Date:26/06/2012
- Category:
- ISBN:9781908977588
Information
-
Download - Immediately Available
- Format:PDF
- Pages:312 pages
- Publisher:World Scientific Publishing Company
- Publication Date:26/06/2012
- Category:
- ISBN:9781908977588
