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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 |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Singapore ; Hackensack, NJ :
World Scientific,
©2012.
|
| Colección: | Series in quantitative finance ;
v. 4. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Mai, Jan-Frederik. | |
| 245 | 1 | 0 | |a Simulating copulas : |b stochastic models, sampling algorithms and applications / |c Jan-Frederik Mai, Matthias Scherer. |
| 260 | |a Singapore ; |a Hackensack, NJ : |b World Scientific, |c ©2012. | ||
| 300 | |a 1 online resource (xiv, 295 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Series in quantitative finance ; |v v. 4 | |
| 504 | |a Includes bibliographical references (pages 283-292) and index. | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 1. Introduction. 1.1. Copulas. 1.2. General classifications of copulas -- 2. Archimedean copulas. 2.1. Motivation. 2.2. Extendible Archimedean copulas. 2.3. Exchangeable Archimedean copulas. 2.4. Hierarchical (H-extendible) Archimedean copulas. 2.5. Other topics related to Archimedean copulas -- 3. Marshall-Olkin copulas. 3.1. The general Marshall-Olkin copula. 3.2. The exchangeable case. 3.3. The extendible case -- 4. Elliptical copulas. 4.1. Spherical distributions. 4.2. Elliptical distributions. 4.3. Parametric families of elliptical distributions. 4.4. Elliptical copulas. 4.5. Parametric families of elliptical copulas. 4.6. Sampling algorithms -- 5. Pair copula constructions. 5.1. Introduction to pair copula constructions. 5.2. Copula construction by regular vine trees. 5.3. Simulation from regular vine distributions. 5.4. Dependence properties. 5.5. Application -- 6. Sampling univariate random variables. 6.1. General aspects of generating random variables. 6.2. Generating uniformly distributed random variables. 6.3. The inversion method. 6.4. Generating exponentially distributed random numbers. 6.5. Acceptance-rejection method. 6.6. Generating normally distributed random numbers. 6.7. Generating lognormal random numbers. 6.8. Generating gamma-distributed random numbers. 6.9. Generating Chi-square-distributed RNs. 6.10. Generating t-distributed random numbers. 6.11. Generating Pareto-distributed random numbers. 6.12. Generating inverse Gaussian-distributed random numbers. 6.13. Generating stable-distributed random numbers. 6.14. Generating discretely distributed random numbers -- 7. The Monte Carlo method. 7.1. First aspects of the Monte Carlo method. 7.2. Variance reduction methods. | |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Copulas (Mathematical statistics) | |
| 650 | 0 | |a Stochastic models. | |
| 650 | 6 | |a Copules (Statistique mathématique) | |
| 650 | 6 | |a Modèles stochastiques. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x Multivariate Analysis. |2 bisacsh | |
| 650 | 7 | |a Copulas (Mathematical statistics) |2 fast | |
| 650 | 7 | |a Stochastic models |2 fast | |
| 700 | 1 | |a Scherer, Matthias, |d 1979- | |
| 776 | 0 | 8 | |i Print version: |a Mai, Jan-Frederik. |t Simulating copulas. |d Singapore ; Hackensack, NJ : World Scientific, ©2012 |z 9781848168749 |
| 830 | 0 | |a Series in quantitative finance ; |v v. 4. | |
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