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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:
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...     »
Serientitel/Schriftenreihe:
Series in Quantitative Finance
Serienbandnummer:
6
Auflage:
2nd Edition
Verlag / Institution:
World Scientific
Verlagsort:
Singapore
Seiten/Umfang:
356
Jahr:
2017
Jahr / Monat:
2017-08
Intellectual Contribution:
Discipline-based Research
Andere Ausgaben:
0
Print-ISBN:
978-981-3149-24-3
Reviewed:
ja
Sprache:
en
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Peer reviewed:
Ja
commissioned:
not commissioned
Interdisziplinarität:
Nein
Technology:
Nein
Ethics und Sustainability:
Nein
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