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

Autore: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
Editore: Berlin ; New York : Springer, ©2013.
Serie: Lecture notes in statistics (Springer-Verlag), 213.
Edizione/Formato:   eBook : Document : Conference publication : EnglishVedi tutte le edizioni e i formati
Banca dati:WorldCat
Sommario:
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  Per saperne di più…
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Dettagli

Genere/forma: Electronic books
Conference papers and proceedings
Congresses
Tipo materiale: Conference publication, Document, Risorsa internet
Tipo documento: Internet Resource, Computer File
Tutti gli autori / Collaboratori: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
ISBN: 9783642354076 3642354076 3642354068 9783642354069
Numero OCLC: 851442803
Note: International conference proceedings.
Includes index.
Descrizione: 1 online resource.
Contenuti: 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.
Titolo della serie: Lecture notes in statistics (Springer-Verlag), 213.
Responsabilità: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
Maggiori informazioni:

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  Per saperne di più…

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