| Description |
1 online resource (xiv, 295 pages) : illustrations. |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
Series in quantitative finance ; v. 4
|
|
Series in quantitative finance ; v. 4.
|
| Bibliography |
Includes bibliographical references (pages 283-292) and index. |
| Summary |
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. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Copulas (Mathematical statistics)
|
|
Copulas (Mathematical statistics) |
|
Stochastic models.
|
|
Stochastic models. |
| Genre/Form |
Electronic books.
|
| Added Author |
Scherer, Matthias, 1979-
|
| Other Form: |
Print version: Mai, Jan-Frederik. Simulating copulas. Singapore ; Hackensack, NJ : World Scientific, ©2012 9781848168749 |
| ISBN |
9781848168756 (electronic book) |
|
1848168756 (electronic book) |
|
1281603511 |
|
9781281603517 |
|
9781848168749 (hardback) |
|
1848168748 (hardback) |
| Standard No. |
9786613784209 |
|
