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Simulating copulas : stochastic models, sampling algorithms and applications /
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 (...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, NJ :
World Scientific,
©2012.
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| Colección: | Series in quantitative finance ;
v. 4. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Descripción Física: | 1 online resource (xiv, 295 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 283-292) and index. |
| ISBN: | 9781848168756 1848168756 1281603511 9781281603517 |