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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications by Jan-frederik Mai (Xaia Investment, Germany) at Abbey's Bookshop,
Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications
— —
Jan-frederik Mai (Xaia Investment, Germany) Matthias Scherer (Technische Univ Munchen, Germany)

Simulating Copulas

Stochastic Models, Sampling Algorithms, And Applications

Jan-frederik Mai (Xaia Investment, Germany),  Matthias Scherer (Technische Univ Munchen, Germany)

$230.99

Hardback

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English
World Scientific Publishing Co Pte Ltd
08 June 2017
Stochastics
Series: Series In Quantitative Finance
'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.
By:   , ,
Imprint:   World Scientific Publishing Co Pte Ltd
Country of Publication:   Singapore
Edition:   Second Edition
Volume:   6
ISBN:   9789813149243
ISBN 10:   9813149248
Series:   Series In Quantitative Finance
Pages:   356
Publication Date:  
Audience:   College/higher education ,  A / AS level ,  Further / Higher Education
Format:   Hardback
Publisher's Status:   Active

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