| Simulating Copulas (2nd Ed) Contributor(s): Jan-Frederik Mai & Matthias Scherer (Author) |
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ISBN: 9813149248 ISBN-13: 9789813149243 Publisher: World Scientific Publishing Company OUR PRICE: $121.60 Product Type: Hardcover - Other Formats Published: June 2017 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - Multivariate Analysis - Mathematics | Applied - Mathematics | Probability & Statistics - Stochastic Processes |
| Dewey: 519.535 |
| Series: Quantitative Finance |
| Physical Information: 0.9" H x 5.9" W x 9.1" (1.4 lbs) 356 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description:
The 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. |