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  3. Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Posted By: insetes
Date: 13 Aug 2018 12:29:28
Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications By Jan-Frederik Mai, Matthias Scherer
2017 | 356 Pages | ISBN: 981314999X | PDF | 4 MB


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 stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology. Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists
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