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Title:

Simulating Copulas

Subtitle:
Stochastic Models, Sampling Algorithms, and Applications
Document type:
Buch
Author(s):
Mai, J.-F.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
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 stochas...     »
Bookseries title:
Series in Quantitative Finance
Bookseries volume:
6
Edition:
2nd Edition
Publisher:
World Scientific
Publisher address:
Singapore
Pages:
356
Year:
2017
Year / month:
2017-08
Intellectual Contribution:
Discipline-based Research
Other Issue::
0
Print-ISBN:
978-981-3149-24-3
Reviewed:
ja
Language:
en
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Peer reviewed:
Ja
commissioned:
not commissioned
Interdisciplinarity:
Nein
Technology:
Nein
Ethics and Sustainability:
Nein
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