Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009: 198 - Brossura
Copulas are mathematical objects that fully capture the dependence structure among random variables. This book offers an up-to-date account of essential aspects of copula models. It also features papers selected from presentations at a workshop in Warsaw.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Contenuti:
Surveys.- Copula Theory: An Introduction.- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes.- Copula Estimation.- Pair-Copula Constructions of Multivariate Copulas.- Risk Aggregation.- Extreme-Value Copulas.- Construction and Sampling of Nested Archimedean Copulas.- Tail Behaviour of Copulas.- Copulae in Reliability Theory (Order Statistics, Coherent Systems).- Copula-Based Measures of Multivariate Association.- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing.- Contributed Papers.- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets.- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data.- Testing Under the Extended Koziol-Green Model.- Parameter Estimation and Application of the Multivariate Skew t-Copula.- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas.- Relationships Between Archimedean Copulas and Morgenstern Utility Functions.
Dalla quarta di copertina:
Copulas 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 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
- EditoreSpringer
- Data di pubblicazione2010
- ISBN 10 364212464X
- ISBN 13 9783642124648
- RilegaturaCopertina flessibile
- Numero di pagine348
- RedattoreJaworski Piotr, Durante Fabrizio, Härdle Wolfgang Karl, Rychlik Tomasz
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Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 (Lecture Notes in Statistics) [Paperback ]
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Copula Theory and Its Applications
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Springer Berlin Heidelberg
(2010)
ISBN 10: 364212464X
ISBN 13: 9783642124648
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Descrizione libro Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. A new reference book for copula-based stochastic modelsA series of survey papers provides to the reader a general overview to copula theory and its most important applicationsAn up-to-date account about recent developments incopula theoryCopulas are mat. Codice articolo 5049874
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Copula Theory and Its Applications
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ISBN 10: 364212464X
ISBN 13: 9783642124648
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Descrizione libro Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Copulas 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 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc.This book is divided into two main parts: Part I Surveys contains 11 manuscripts that provide an up-to-date account of essential aspects of copula models. Part II Contributions collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw. 348 pp. Englisch. Codice articolo 9783642124648
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Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
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Springer Berlin Heidelberg
(2010)
ISBN 10: 364212464X
ISBN 13: 9783642124648
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Descrizione libro Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - Copulas 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 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc.This book is divided into two main parts: Part I Surveys contains 11 manuscripts that provide an up-to-date account of essential aspects of copula models. Part II Contributions collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw. Codice articolo 9783642124648
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Copula Theory and Its Applications: Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
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ISBN 13: 9783642124648
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Descrizione libro Paperback. Condizione: Brand New. 327 pages. 9.00x6.00x0.75 inches. In Stock. Codice articolo x-364212464X
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