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Simulating Copulas : Stochastic Models, Sampling Algorithms, and Applications (Hardcover) (Jan-Frederik

Simulating Copulas : Stochastic Models, Sampling Algorithms, and Applications (Hardcover) (Jan-Frederik - image 1 of 1

About this item

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.
Number of Pages: 338
Genre: Mathematics, Business + Money Management
Series Title: Series in Quantitative Finance
Format: Hardcover
Publisher: World Scientific Pub Co Inc
Author: Jan-Frederik Mai & Matthias Scherer
Language: English
Street Date: August 31, 2017
TCIN: 52099775
UPC: 9789813149243
Item Number (DPCI): 248-41-0121
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