Simulating Copulas "Stochastic Models, Sampling Algorithms and Applications"

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Mai, Jan-Frederik, Scherer, Matthias

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ISBN:9781848168749
Editorial: Imperial College Press
Fecha de la edición:2012
Encuadernación:
Nº Pág.:400
Idiomas:Ingles,Inglés

Materias:

/ Economía Cuantitativa

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.

General Introduction to Copulas; Univariate Sampling Schemes; Introduction to Monte Carlo Techniques; Elliptical Copulas; Archimedean Copulas; Marshall-Olkin Copulas; Pair-Copula Construction; Applications.