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Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

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Author Mai Jan-Frederik Et Al
ISBN 9781848168749
Published Language English
Publication Year 2012
Publisher World Scientific
Binding Hardback
Original Price $115
Pages 312
Ships By 2-3 days
SKU: WS-1999 Categories: ,

Description

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.

About the author
Assenagon Credit Management Gmbh, Germany

Additional information

Weight 0.582 kg
Dimensions 22.9 × 15.2 cm
Author

ISBN

Publisher

Pages

312

Ships By

2-3 days