LEADER 00987nam0-2200349---450- 001 990008329040403321 005 20150623100607.0 010 $a88-467-0983-7 035 $a000832904 035 $aFED01000832904 035 $a(Aleph)000832904FED01 035 $a000832904 100 $a20060516d2004----km-y0itay50------ba 101 0 $aita 102 $aIT 105 $ay-------001yy 200 1 $a<>ragioni della nonviolenza$eantologia degli scritti$fAldo Capitini$ga cura di Mario Martini 210 $aPisa$cETS$d© 2004 215 $a195 p.$d22 cm 225 1 $aPhilosophica$v10 676 $a303.61$v20$zita 700 1$aCapitini,$bAldo$f<1899-1968>$032135 702 1$aMartini,$bMario 801 0$aIT$bUNINA$gREICAT$2UNIMARC 901 $aBK 912 $a990008329040403321 952 $aCollez. 2310 (10)$b265/2015$fFSPBC 952 $aXI DU C 23$b2695$fDFD 959 $aDFD 959 $aFSPBC 996 $aRagioni della nonviolenza$9744138 997 $aUNINA LEADER 05065nam 22007335 450 001 9910739410803321 005 20251230065335.0 010 $a3-642-35407-6 024 7 $a10.1007/978-3-642-35407-6 035 $a(CKB)2670000000388647 035 $a(EBL)1317514 035 $a(SSID)ssj0000935584 035 $a(PQKBManifestationID)11468920 035 $a(PQKBTitleCode)TC0000935584 035 $a(PQKBWorkID)10953122 035 $a(PQKB)11090715 035 $a(DE-He213)978-3-642-35407-6 035 $a(MiAaPQ)EBC1317514 035 $a(PPN)170490572 035 $a(EXLCZ)992670000000388647 100 $a20130619d2013 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCopulae in Mathematical and Quantitative Finance $eProceedings of the Workshop Held in Cracow, 10-11 July 2012 /$fedited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle 205 $a1st ed. 2013. 210 1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2013. 215 $a1 online resource (299 p.) 225 1 $aLecture Notes in Statistics - Proceedings ;$v213 300 $aDescription based upon print version of record. 311 08$a3-642-35406-8 320 $aIncludes bibliographical references and index. 327 $aA Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Ne?ehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin. 330 $aCopulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.  . 410 0$aLecture Notes in Statistics - Proceedings ;$v213 606 $aStatistics 606 $aSocial sciences$xMathematics 606 $aProbabilities 606 $aMacroeconomics 606 $aStatistics in Business, Management, Economics, Finance, Insurance 606 $aMathematics in Business, Economics and Finance 606 $aProbability Theory 606 $aMacroeconomics and Monetary Economics 615 0$aStatistics. 615 0$aSocial sciences$xMathematics. 615 0$aProbabilities. 615 0$aMacroeconomics. 615 14$aStatistics in Business, Management, Economics, Finance, Insurance. 615 24$aMathematics in Business, Economics and Finance. 615 24$aProbability Theory. 615 24$aMacroeconomics and Monetary Economics. 676 $a519.535 701 $aJaworski$b Piotr$0732375 701 $aDurante$b Fabrizio$0481027 701 $aHardle$b Wolfgang$0420941 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910739410803321 996 $aCopulae in mathematical and quantitative finance$94196046 997 $aUNINA