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Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications - Softcover

 
9789813149991: Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications

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Synopsis

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.

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Other Popular Editions of the Same Title

9789813149243: Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications: 2nd Edition: Series in Quantitative Finance: Volume 6: Stochastic ... Algorithms, and Applications (Second Edition)

Featured Edition

ISBN 10:  9813149248 ISBN 13:  9789813149243
Publisher: World Scientific Publishing Company, 2017
Hardcover