Series In Quantitative Finance: Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition) (ePub)
Stochastic Models, Sampling Algorithms, and Applications
(Sprache: Englisch)
-->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...
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Produktinformationen zu „Series In Quantitative Finance: Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition) (ePub)“
-->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. -->Contents:IntroductionArchimedean CopulasMarshall–Olkin CopulasElliptical CopulasPair Copula ConstructionsSampling Univariate Random VariablesThe Monte Carlo MethodFurther Copula Families with Known Extendible SubclassAppendix: Supplemental Material --> -->Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists. -->Copula;Simulation;Monte Carlo;Random Vector;Dependence ModelKey Features:Explicit focus on stochastic representations of copulas in contrast to an analytical perspectiveEasy-to-implement simulation schemes given as pseudo codeExplicit focus on high-dimensional modelsFocus on applicability of models, e.g. to portfolio credit risk or insurance
Bibliographische Angaben
- Autoren: Jan-Frederik Mai , Matthias Scherer;;;
- 2017, 356 Seiten, Englisch
- Verlag: World Scientific Publishing Company
- ISBN-10: 9813149264
- ISBN-13: 9789813149267
- Erscheinungsdatum: 07.06.2017
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- Dateiformat: ePub
- Größe: 27 MB
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Sprache:
Englisch
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