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Copulae in mathematical and quantitative finance : proceedings of the Workshop Held in Cracow, 10-11 July 2012 Titelvorschau
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Copulae in mathematical and quantitative finance : proceedings of the Workshop Held in Cracow, 10-11 July 2012

Verfasser/in: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
Verlag: Berlin ; New York : Springer, ©2013.
Serien: Lecture notes in statistics (Springer-Verlag), 213.
Ausgabe/Format   E-Book : Dokument : Tagungsband : EnglischAlle Ausgaben und Formate anzeigen
Datenbank:WorldCat
Zusammenfassung:
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  Weiterlesen…
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Gattung/Form: Electronic books
Conference proceedings
Congresses
Medientyp: Tagungsband, Dokument, Internetquelle
Dokumenttyp: Internet-Ressource, Computer-Datei
Alle Autoren: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
ISBN: 9783642354076 3642354076
OCLC-Nummer: 851442803
Anmerkungen: International conference proceedings.
Includes index.
Beschreibung: 1 online resource.
Inhalt: A Convolution-Based Autoregressive Process / Umberto Cherubini, Fabio Gobbi --
Selection of Vine Copulas / Claudia Czado, Eike Christian Brechmann --
Copulas in Machine Learning / Gal Elidan --
An Overview of the Goodness-of-Fit Test Problem for Copulas / Jean-David Fermanian --
Assessing and Modeling Asymmetry in Bivariate Continuous Data / Christian Genest, Johanna G. Nešlehová --
Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series / Nikolaus Hautsch, Ostap Okhrin --
The Limiting Properties of Copulas Under Univariate Conditioning / Piotr Jaworski --
Singular Mixture Copulas / Dominic Lauterbach, Dietmar Pfeifer --
Toward a Copula Theory for Multivariate Regular Variation / Haijun Li --
CIID Frailty Models and Implied Copulas / Jan-Frederik Mai, Matthias Scherer --
Copula-Based Models for Multivariate Discrete Response Data / Aristidis K. Nikoloulopoulos --
Vector Generalized Linear Models: A Gaussian Copula Approach / Peter X.-K. Song, Mingyao Li --
Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives / Bertrand Tavin.
Serientitel: Lecture notes in statistics (Springer-Verlag), 213.
Verfasserangabe: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
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Abstract:

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. This book includes  Weiterlesen…

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