SIMULATING COPULAS (2ND ED): Stochastic Models, Sampling Algorithms, and Applications (Second Edition): 6 (Series In Quantitative Finance) - Tapa dura

Mai, Jan-Frederik; JAN-FREDERIK MAI & MATTHIAS SCHERER; Scherer, Matthias

 
9789813149243: SIMULATING COPULAS (2ND ED): Stochastic Models, Sampling Algorithms, and Applications (Second Edition): 6 (Series In Quantitative Finance)
Tapa dura
ISBN 10: 9813149248 ISBN 13: 9789813149243
Editorial: World Scientific, 2017

Sinopsis

 

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.

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Acerca del autor

Dr Jan-Frederik Mai works as quantitative analyst at XAIA Investment in Munich, and earned his PhD in Financial Mathematics at the Technical University of Munich. He has published research articles with a focus on financial applications, and also within the field of dependence modeling. In particular, he co-authored the book Financial Engineering with Copulas Explained.

Dr Matthias Scherer is a Professor of Mathematical Finance at the Technical University of Munich. His research interests comprise various topics in Financial Mathematics, Actuarial Science, and Probability Theory. Concerning dependence modeling, he has published research articles on the construction, simulation, estimation, and application of copulas. He is an active member of the board of the DGVFM and serves as associate editor of the journal Dependence Modeling. He co-authored the book Financial Engineering with Copulas Explained.

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Editorial
World Scientific
Año de publicación
2017
Idioma
Inglés
ISBN 10 
9813149248
ISBN 13 
9789813149243
Encuadernación
Tapa dura
Número de edición
2
Número de páginas
358
Contacto del fabricante
no disponible
Persona responsable
no disponible

Otras ediciones populares con el mismo título

9789813149991: Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications

Edición Destacada

ISBN 10:  981314999X ISBN 13:  9789813149991
Editorial: World Scientific Publishing Co P..., 2017
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