SIMULATING COPULAS: STOCHASTIC MODELS, SAMPLING ALGORITHMS, AND APPLICATIONS (SECOND EDITION) (Series in Quantitative Finance, 6) - Hardcover

Jan-Frederik Mai; Matthias Scherer

Hardcover

ISBN 10: 9813149248 ISBN 13: 9789813149243

Publisher: World Scientific Publishing Company, 2017

Synopsis

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.

Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.

About this title

About the Author

Dr Jan-Frederik Mai works as quantitative analyst at XAIA Investment in Munich, and earned his PhD in Financial Mathematics at the Technical University of Munich. He has published research articles with a focus on financial applications, and also within the field of dependence modeling. In particular, he co-authored the book Financial Engineering with Copulas Explained.

Dr Matthias Scherer is a Professor of Mathematical Finance at the Technical University of Munich. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning dependence modeling, he has published research articles on the construction, simulation, estimation, and application of copulas. He is an active member of the board of the DGVFM and serves as associate editor of the journal Dependence Modeling. He co-authored the book Financial Engineering with Copulas Explained.

Edition details

• Publisher: World Scientific Publishing Company
• Publication date: 2017
• Language: English
• ISBN 10: 9813149248
• ISBN 13: 9789813149243
• Binding: Hardcover
• Edition number: 2
• Number of pages: 356