Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications
Book Details
Format
Hardback or Cased Book
Book Series
Series In Quantitative Finance
ISBN-10
1848168748
ISBN-13
9781848168749
Publisher
Imperial College Press
Imprint
Imperial College Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Aug 29th, 2012
Print length
312 Pages
Weight
576 grams
Dimensions
23.50 x 15.30 x 2.20 cms
Product Classification:
Stochastics
Ksh 17,100.00
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Provides you with a background on simulating copulas and multivariate distributions in general. This title unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, and more) as well as on different construction principles (factor models, pair-copula construction, and more).
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.
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