Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications: 2nd Edition: Series in Quantitative Finance: Volume 6: Stochastic ... Algorithms, and Applications (Second Edition)

by Matthias Scherer (Author), Matthias Scherer (Author), Jan-Frederik Mai (Author)

• New

  Hardcover
  2017

  $141.19

  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.