Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications (Quantitative Finance)

Scherer, Matthias; Mai, Jan-Frederik

ISBN 10: 1848168748 / ISBN 13: 9781848168749

Published by Imperial College Press, 2012

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Bibliographic Details

• Title: Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications (Quantitative Finance)
• Publisher: Imperial College Press
• Publication Date: 2012
• Language: English
• ISBN 10: 1848168748
• ISBN 13: 9781848168749
• Binding: Hardcover
• Condition: New

About this title

Synopsis

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.