Simulating Copulas

Stochastic Models, Sampling Algorithms, and Applications

Nonfiction, Science & Nature, Mathematics, Probability, Business & Finance, Economics, Statistics
Cover of the book Simulating Copulas by Jan-Frederik Mai, Matthias Scherer, World Scientific Publishing Company
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jan-Frederik Mai, Matthias Scherer ISBN: 9789813149267
Publisher: World Scientific Publishing Company Publication: June 7, 2017
Imprint: WSPC Language: English
Author: Jan-Frederik Mai, Matthias Scherer
ISBN: 9789813149267
Publisher: World Scientific Publishing Company
Publication: June 7, 2017
Imprint: WSPC
Language: English

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:

  • Introduction
  • Archimedean Copulas
  • Marshall–Olkin Copulas
  • Elliptical Copulas
  • Pair Copula Constructions
  • Sampling Univariate Random Variables
  • The Monte Carlo Method
  • Further Copula Families with Known Extendible Subclass
  • Appendix: Supplemental Material

Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.
Key Features:

  • Explicit focus on stochastic representations of copulas in contrast to an analytical perspective
  • Easy-to-implement simulation schemes given as pseudo code
  • Explicit focus on high-dimensional models
  • Focus on applicability of models, e.g. to portfolio credit risk or insurance
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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:

Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.
Key Features:

More books from World Scientific Publishing Company

Cover of the book Reform and Development in China by Jan-Frederik Mai, Matthias Scherer
Cover of the book Service Quality and Productivity Management by Jan-Frederik Mai, Matthias Scherer
Cover of the book Synthesis and Applications of Optically Active Nanomaterials by Jan-Frederik Mai, Matthias Scherer
Cover of the book The Analysis of Competition Policy and Sectoral Regulation by Jan-Frederik Mai, Matthias Scherer
Cover of the book Metals and Energy Finance by Jan-Frederik Mai, Matthias Scherer
Cover of the book Designs from Linear Codes by Jan-Frederik Mai, Matthias Scherer
Cover of the book Classical and Computational Solid Mechanics by Jan-Frederik Mai, Matthias Scherer
Cover of the book Evidence-based Clinical Chinese Medicine by Jan-Frederik Mai, Matthias Scherer
Cover of the book Computer Architecture by Jan-Frederik Mai, Matthias Scherer
Cover of the book Orchid Biotechnology III by Jan-Frederik Mai, Matthias Scherer
Cover of the book Allergic Diseases in Children by Jan-Frederik Mai, Matthias Scherer
Cover of the book The 21st Century Guide to Writing Articles in the Biomedical Sciences by Jan-Frederik Mai, Matthias Scherer
Cover of the book Transforming Reconfigurable Systems by Jan-Frederik Mai, Matthias Scherer
Cover of the book The Tommy Koh Reader by Jan-Frederik Mai, Matthias Scherer
Cover of the book Islamic Capital Markets by Jan-Frederik Mai, Matthias Scherer
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy