Copula Theory and Its Applications / Lecture Notes in Statistics Bd.198 (PDF)
Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
(Sprache: Englisch)
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable...
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Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
Bibliographische Angaben
- Autoren: Piotr Jaworski , Fabrizio Durante , Tomasz Rychlik
- 2010, 2010, 327 Seiten, Englisch
- Herausgegeben: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, Tomasz Rychlik
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3642124658
- ISBN-13: 9783642124655
- Erscheinungsdatum: 16.07.2010
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Dateiformat: PDF
- Größe: 4.07 MB
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Sprache:
Englisch
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