LEADER 04422nam 2200661 a 450 001 9910808276403321 005 20240516000858.0 010 $a1-281-60351-1 010 $a9786613784209 010 $a1-84816-875-6 035 $a(CKB)2560000000090549 035 $a(OCoLC)808340697 035 $a(CaPaEBR)ebrary10583614 035 $a(SSID)ssj0000701891 035 $a(PQKBManifestationID)12258352 035 $a(PQKBTitleCode)TC0000701891 035 $a(PQKBWorkID)10679404 035 $a(PQKB)10819292 035 $a(MiAaPQ)EBC3050920 035 $a(WSP)00002728 035 $a(Au-PeEL)EBL3050920 035 $a(CaPaEBR)ebr10583614 035 $a(CaONFJC)MIL378420 035 $a(OCoLC)802330740 035 $a(EXLCZ)992560000000090549 100 $a20120808d2012 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aSimulating copulas $estochastic models, sampling algorithms and applications /$fJan-Frederik Mai, Matthias Scherer 205 $a1st ed. 210 $aLondon $cImperial College Press$d2012 215 $a1 online resource (310 p.) 225 1 $aSeries in quantitative finance,$x1756-1604 ;$vv. 4 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-84816-874-8 320 $aIncludes bibliographical references and index. 327 $a1. Introduction. 1.1. Copulas. 1.2. General classifications of copulas -- 2. Archimedean copulas. 2.1. Motivation. 2.2. Extendible Archimedean copulas. 2.3. Exchangeable Archimedean copulas. 2.4. Hierarchical (H-extendible) Archimedean copulas. 2.5. Other topics related to Archimedean copulas -- 3. Marshall-Olkin copulas. 3.1. The general Marshall-Olkin copula. 3.2. The exchangeable case. 3.3. The extendible case -- 4. Elliptical copulas. 4.1. Spherical distributions. 4.2. Elliptical distributions. 4.3. Parametric families of elliptical distributions. 4.4. Elliptical copulas. 4.5. Parametric families of elliptical copulas. 4.6. Sampling algorithms -- 5. Pair copula constructions. 5.1. Introduction to pair copula constructions. 5.2. Copula construction by regular vine trees. 5.3. Simulation from regular vine distributions. 5.4. Dependence properties. 5.5. Application -- 6. Sampling univariate random variables. 6.1. General aspects of generating random variables. 6.2. Generating uniformly distributed random variables. 6.3. The inversion method. 6.4. Generating exponentially distributed random numbers. 6.5. Acceptance-rejection method. 6.6. Generating normally distributed random numbers. 6.7. Generating lognormal random numbers. 6.8. Generating gamma-distributed random numbers. 6.9. Generating Chi-square-distributed RNs. 6.10. Generating t-distributed random numbers. 6.11. Generating Pareto-distributed random numbers. 6.12. Generating inverse Gaussian-distributed random numbers. 6.13. Generating stable-distributed random numbers. 6.14. Generating discretely distributed random numbers -- 7. The Monte Carlo method. 7.1. First aspects of the Monte Carlo method. 7.2. Variance reduction methods. 330 $aThis book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology. 410 0$aSeries in quantitative finance ;$vv. 4. 606 $aCopulas (Mathematical statistics) 606 $aMultivariate analysis 606 $aDistribution (Probability theory) 615 0$aCopulas (Mathematical statistics) 615 0$aMultivariate analysis. 615 0$aDistribution (Probability theory) 676 $a519.535 700 $aJan-Frederik$b Mai$01659830 701 $aScherer$b Matthias$0732358 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910808276403321 996 $aSimulating copulas$94014666 997 $aUNINA