Sampling Nested Archimedean Copulas : with Applications to CDO Pricing
Language: English
Published by Südwestdeutscher Verlag Für Hochschulschriften, 2010
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 71.52
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Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.…
Seller Inventory # 9783838116563
- Title
- Sampling Nested Archimedean Copulas : with Applications to CDO Pricing
- Author
- Jan Marius Hofert
- Publisher
- Südwestdeutscher Verlag Für Hochschulschriften
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3838116569
- ISBN 13
- 9783838116563
- Item weight
- 316 grams
- Dimensions
- 220x150x13 mm
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