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Simulating copulas : stochastic models, sampling algorithms, and applications / Jan-Frederik Mai and Matthias Scherer.

By: Contributor(s): Material type: TextTextSeries: Series in quantitative finance ; v 4.Publication details: London : Imperial College Press, ©2012.Description: xiv, 295 pages : illustrations ; 24 cmISBN:
  • 9781848168749 (hbk.)
Subject(s): DDC classification:
  • 000SA.07 23 M217
Contents:
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.
Summary: 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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Holdings
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
Total holds: 0

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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