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Titel:

Simulating Copulas

Titelzusatz:
Stochastic Models, Sampling Algorithms, and Applications
Dokumenttyp:
Buch
Autor(en):
Mai, J.-F.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
-
Abstract:
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 backgro...     »
Serientitel/Schriftenreihe:
Series in Quantitative Finance
Serienbandnummer:
4
Verlag / Institution:
World Scientific
Verlagsort:
Singapore
Seiten/Umfang:
312
Jahr:
2012
Jahr / Monat:
2012-06
Monat:
Jun
Quartal:
2. Quartal
Intellectual Contribution:
Discipline-based Research
Print-ISBN:
978-1-84816-874-9
E-ISBN:
978-1-84816-875-6
Reviewed:
ja
Sprache:
en
Format:
Text
Key publication:
Nein
Peer reviewed:
ja
International:
Ja
commissioned:
not commissioned
Kategorie:
textbook
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