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Simulating copulas [[electronic resource] ] : stochastic models, sampling algorithms and applications / / Jan-Frederik Mai, Matthias Scherer
| Simulating copulas [[electronic resource] ] : stochastic models, sampling algorithms and applications / / Jan-Frederik Mai, Matthias Scherer |
| Autore | Jan-Frederik Mai |
| Pubbl/distr/stampa | London, : Imperial College Press, 2012 |
| Descrizione fisica | 1 online resource (310 p.) |
| Disciplina | 519.535 |
| Altri autori (Persone) | SchererMatthias |
| Collana | Series in quantitative finance |
| Soggetto topico |
Copulas (Mathematical statistics)
Multivariate analysis Distribution (Probability theory) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-60351-1
9786613784209 1-84816-875-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910465316003321 |
Jan-Frederik Mai
|
||
| London, : Imperial College Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Simulating copulas [[electronic resource] ] : stochastic models, sampling algorithms and applications / / Jan-Frederik Mai, Matthias Scherer
| Simulating copulas [[electronic resource] ] : stochastic models, sampling algorithms and applications / / Jan-Frederik Mai, Matthias Scherer |
| Autore | Jan-Frederik Mai |
| Pubbl/distr/stampa | London, : Imperial College Press, 2012 |
| Descrizione fisica | 1 online resource (310 p.) |
| Disciplina | 519.535 |
| Altri autori (Persone) | SchererMatthias |
| Collana | Series in quantitative finance |
| Soggetto topico |
Copulas (Mathematical statistics)
Multivariate analysis Distribution (Probability theory) |
| ISBN |
1-281-60351-1
9786613784209 1-84816-875-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910791911203321 |
|
Jan-Frederik Mai
|
||
| London, : Imperial College Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Simulating copulas : stochastic models, sampling algorithms and applications / / Jan-Frederik Mai, Matthias Scherer
| Simulating copulas : stochastic models, sampling algorithms and applications / / Jan-Frederik Mai, Matthias Scherer |
| Autore | Jan-Frederik Mai |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London, : Imperial College Press, 2012 |
| Descrizione fisica | 1 online resource (310 p.) |
| Disciplina | 519.535 |
| Altri autori (Persone) | SchererMatthias |
| Collana | Series in quantitative finance |
| Soggetto topico |
Copulas (Mathematical statistics)
Multivariate analysis Distribution (Probability theory) |
| ISBN |
1-281-60351-1
9786613784209 1-84816-875-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. 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. |
| Record Nr. | UNINA-9910808276403321 |
|
Jan-Frederik Mai
|
||
| London, : Imperial College Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||