Jan-Frederik Mai and Matthias Scherer, "Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications"
English | ISBN: 1848168748 | 2012 | 400 pages | PDF | 3 MB
English | ISBN: 1848168748 | 2012 | 400 pages | PDF | 3 MB
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, and more) as well as on different construction principles (factor models, pair-copula construction, and more). 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.