Sinopsis
Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.
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Reseña del editor
Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.
Biografía del autor
Jan Marius Hofert was born in Friedrichshafen, Germany, on Mai 2, 1980. He completed a Master of Science in Mathematics from Syracuse University and a Diploma in Economathematics, as well as a Doctor of Philosophy in Mathematics, from Ulm University. He is currently a postdoc in the Department of Mathematics at ETH Zurich.
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Sampling Nested Archimedean Copulas
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Südwestdeutscher Verlag Für Hochschulschriften Apr 2010, 2010
ISBN 10: 3838116569
ISBN 13: 9783838116563
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio. 200 pp. Englisch. Nº de ref. del artículo: 9783838116563
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Sampling Nested Archimedean Copulas
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Südwestdeutscher Verlag für Hochschulschriften, 2010
ISBN 10: 3838116569
ISBN 13: 9783838116563
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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Hofert Jan MariusJan Marius Hofert was born in Friedrichshafen, Germany, on Mai 2,1980. He completed a Master of Science in Mathematics fromSyracuse University and a Diploma in Economathematics, as well asa Doctor of Philosophy in Ma. Nº de ref. del artículo: 5406016
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Sampling Nested Archimedean Copulas | with Applications to CDO Pricing
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Südwestdeutscher Verlag für Hochschulschriften, 2015
ISBN 10: 3838116569
ISBN 13: 9783838116563
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Taschenbuch. Condición: Neu. Sampling Nested Archimedean Copulas | with Applications to CDO Pricing | Jan Marius Hofert | Taschenbuch | 200 S. | Englisch | 2015 | Südwestdeutscher Verlag für Hochschulschriften | EAN 9783838116563 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu. Nº de ref. del artículo: 101176327
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Sampling Nested Archimedean Copulas
Publicado por
Südwestdeutscher Verlag Für Hochschulschriften Apr 2010, 2010
ISBN 10: 3838116569
ISBN 13: 9783838116563
Nuevo
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Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 200 pp. Englisch. Nº de ref. del artículo: 9783838116563
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Sampling Nested Archimedean Copulas : with Applications to CDO Pricing
Publicado por
Südwestdeutscher Verlag Für Hochschulschriften, 2010
ISBN 10: 3838116569
ISBN 13: 9783838116563
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Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio. Nº de ref. del artículo: 9783838116563
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Sampling Nested Archimedean Copulas : with Applications to CDO Pricing
Publicado por
Südwestdeutscher Verlag für Hochschulschriften, 2010
ISBN 10: 3838116569
ISBN 13: 9783838116563
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Condición: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio. Nº de ref. del artículo: 7558108/2
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