Simulating copulas : stochastic models, sampling algorithms, and applications / Jan-Frederik Mai and Matthias Scherer.
Material type:
TextSeries: Series in quantitative finance ; v 4.Publication details: London : Imperial College Press, ©2012.Description: xiv, 295 pages : illustrations ; 24 cmISBN: - 9781848168749 (hbk.)
- 000SA.07 23 M217
| Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
|---|---|---|---|---|---|---|---|
| Books | ISI Library, Kolkata | 000SA.07 M217 (Browse shelf(Opens below)) | Available | 137811 |
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| 000SA.07 J82 Multivariate analysis with LISREL / | 000SA.07 K65 Principles and practice of structural equation modeling / | 000SA.07 K82 Introduction to multivariate analysis : | 000SA.07 M217 Simulating copulas : | 000SA.07 M613 Applied multivariate research : | 000SA.07 P339 Modeling and analysis of compositional data / | 000SA.07 P926 The statistical analysis of multivariate failure time data: a marginal modeling approach/ |
Includes bibliographical references and index.
1. Introduction --
2. Archimedean copulas --
3. Marshall-Olkin copulas --
4. Elliptical copulas --
5. Pair copula constructions --
6. Sampling univariate random variables --
7. The Monte Carlo method.
This book provides the reader with a background on simulating copulas and multivariate distribution in general. It unifies the scattered literature on the simulation of various families of copulas as well as on different construction principles.
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