Ebook: Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications
- Tags: Copulas (Mathematical statistics), Stochastic models.
- Series: Series in quantitative finance 6
- Year: 2017
- Publisher: World Scientific Publishing Company
- Edition: 2nd Edition
- Language: English
- pdf
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.
Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists
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