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Bog, paperback Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications af Matthias Scherer

Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications (Series in Quantitative Finance, nr. 6)

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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 (... Læs mere

The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulatio... Læs mere

Produktdetaljer:

Sprog:
Engelsk
ISBN-13:
9789813149991
Sideantal:
350
Udgivet:
09-08-2017
Udgave:
2nd Revised edition
Nr. i serien:
6
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(Bog, hardback), Engelsk
kr. 849,33
Forventes udgivet
09-08-2017
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21-08-2017

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Bibliotekernes beskrivelse
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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