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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Series In Quantitative Finance 6 (Hardback)
  • Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Series In Quantitative Finance 6 (Hardback)
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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Series In Quantitative Finance 6 (Hardback)

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£98.00
Hardback 356 Pages / Published: 02/08/2017
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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.

Publisher: World Scientific Publishing Co Pte Ltd
ISBN: 9789813149243
Number of pages: 356
Edition: Second Edition

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