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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Series In Quantitative Finance 4 (Hardback)
  • Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Series In Quantitative Finance 4 (Hardback)
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Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications - Series In Quantitative Finance 4 (Hardback)

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£95.00
Hardback 312 Pages / Published: 29/08/2012
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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, 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 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.Errata(s)Errata (128 KB)

Publisher: Imperial College Press
ISBN: 9781848168749
Number of pages: 312
Weight: 590 g
Dimensions: 229 x 152 x 23 mm

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