Simulateding Copulas: Stochastic Models, Sampling Algorithms and Applications

Jan-frederik, Mai/ Matthias Schere

ISBN 10: 1848168748 / ISBN 13: 9781848168749

Published by Imperial College Pr, 2012

About this Item

400 pages. 9.25x6.25x1.00 inches. In Stock.

Seller Inventory # x-1848168748

Bibliographic Details

• Title: Simulateding Copulas: Stochastic Models, Sampling Algorithms and Applications
• Publisher: Imperial College Pr
• Publication Date: 2012
• Language: English
• ISBN 10: 1848168748
• ISBN 13: 9781848168749
• Binding: Hardcover
• Condition: Brand New
• Weight: 0.59 kilograms

About this title

Synopsis

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.