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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Second Edition

By: (Author) Jan-frederik Mai , (Author) Matthias Scherer

Extended Catalogue

Ksh 20,700.00

Format: Hardback or Cased Book

ISBN-10: 9813149248

ISBN-13: 9789813149243

Edition: Second Edition

Series: Series In Quantitative Finance

Publisher: World Scientific Publishing Co Pte Ltd

Imprint: World Scientific Publishing Co Pte Ltd

Country of Manufacture: GB

Country of Publication: GB

Publication Date: Aug 2nd, 2017

Print length: 356 Pages

Weight: 646 grams

Dimensions (height x width x thickness): 16.10 x 23.60 x 2.40 cms

Product Classification: Stochastics

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  • Reviews

 

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.

'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'Mathematical ReviewsThe 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.

Get Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications by at the best price and quality guranteed only at Werezi Africa largest book ecommerce store. The book was published by World Scientific Publishing Co Pte Ltd and it has pages. Enjoy Shopping Best Offers & Deals on books Online from Werezi - Receive at your doorstep - Fast Delivery - Secure mode of Payment

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