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Simulating Copulas : Stochastic Models, Sampling Algorithms and Applications (Paperback) (Jan-frederick

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

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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: 350.0
Genre: Mathematics, Business + Money Management
Format: Paperback
Publisher: World Scientific Pub Co Inc
Author: Jan-frederick Mai & Matthias Scherer
Language: English
Street Date: August 30, 2017
TCIN: 52099735
UPC: 9789813149991
Item Number (DPCI): 248-41-2618

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