Sampling Nested Archimedean Copulas

Language: English

Published by Südwestdeutscher Verlag Für Hochschulschriften Apr 2010, 2010

3838116569 / 9783838116563

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This item is printed on demand - Print on Demand Titel. Neuware -Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 200 pp. Englisch.

Seller Inventory # 9783838116563

Title
Sampling Nested Archimedean Copulas
Author
Jan Marius Hofert
Publisher
Südwestdeutscher Verlag Für Hochschulschriften Apr 2010
Publication year
2010
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3838116569
ISBN 13
9783838116563
Item weight
316 grams
Dimensions
220x150x13 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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