Isbn: 9783642354069 - copulae in mathematical and quantitative finance: proceedings of the workshop held in cracow, 10-11 july 2012: 213 (10 risultati)

Condizione: New. pp. 308.

Paperback. Condizione: Brand New. 2013 edition. 294 pages. 9.00x6.00x0.75 inches. In Stock.

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 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.…

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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 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. 308 pp. Englisch.…

Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Piotr Jaworski is a Professor at the Faculty of Mathematics, Informatics and Mechanics at the Warsaw University Institute of Mathematics. He is also active in the Section of Financial and Actuarial Mathematics. He has engaged in research stays at .…

Condizione: New. Print on Demand pp. 308 38 Illus. (24 Col.).

Condizione: New. PRINT ON DEMAND pp. 308.

Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -A new reference book for copula-based stochastic models in quantitative financeAn up-to-date account about recent developments in copula-based financial modelsSpringer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 308 pp. Englisch.…