Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

✍ Scribed by Jan-Frederik Mai, Matthias Scherer

Publisher: Imperial College Press
Year: 2012
Tongue: English
Leaves: 310
Series: Series in Quantitative Finance 4
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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, and more) as well as on different construction principles (factor models, pair-copula construction, and more). 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.

✦ Subjects

Финансово-экономические дисциплины;Математические методы и моделирование в экономике;Имитационное моделирование экономических процессов;

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