コンテンツへ移動
Copulae in mathematical and quantitative finance : proceedings of the Workshop Held in Cracow, 10-11 July 2012 資料のプレビュー
閉じる資料のプレビュー
確認中…

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

著者: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
出版: Berlin ; New York : Springer, ©2013.
シリーズ: Lecture notes in statistics (Springer-Verlag), 213.
エディション/フォーマット:   電子書籍 : Document : Conference publication : Englishすべてのエディションとフォーマットを見る
データベース:WorldCat
概要:
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  続きを読む
評価:

(まだ評価がありません) 0 件のレビュー - 是非あなたから!

件名:
関連情報:

 

オンラインで入手

この資料へのリンク

オフラインで入手

&AllPage.SpinnerRetrieving; この資料の所蔵館を検索中…

詳細

ジャンル/形式: Electronic books
Conference proceedings
Congresses
資料の種類: Conference publication, Document, インターネット資料
ドキュメントの種類: インターネットリソース, コンピューターファイル
すべての著者/寄与者: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
ISBN: 9783642354076 3642354076
OCLC No.: 851442803
注記: International conference proceedings.
Includes index.
物理形態: 1 online resource.
コンテンツ: 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.
シリーズタイトル: Lecture notes in statistics (Springer-Verlag), 213.
責任者: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
その他の情報:

概要:

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  続きを読む

レビュー

ユーザーレビュー
GoodReadsのレビューを取得中…
DOGObooksのレビューを取得中…

タグ

まずはあなたから!
リクエストの確認

あなたは既にこの資料をリクエストしている可能性があります。このリクエストを続行してよろしければ、OK を選択してください。

リンクデータ


<http://www.worldcat.org/oclc/851442803>
library:oclcnum"851442803"
library:placeOfPublication
library:placeOfPublication
library:placeOfPublication
owl:sameAs<info:oclcnum/851442803>
rdf:typeschema:Book
schema:about
schema:about
schema:about
schema:about
schema:about
schema:bookFormatschema:EBook
schema:contributor
schema:contributor
schema:contributor
schema:copyrightYear"2013"
schema:creator
schema:datePublished"2013"
schema:description"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 bookincludes 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."
schema:exampleOfWork<http://worldcat.org/entity/work/id/1380559543>
schema:genre"Conference proceedings."
schema:genre"Electronic books."
schema:genre"Conference proceedings"
schema:inLanguage"en"
schema:name"Copulae in mathematical and quantitative finance proceedings of the Workshop Held in Cracow, 10-11 July 2012"
schema:publisher
schema:url<http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=598961>
schema:url<http://dx.doi.org/10.1007/978-3-642-35407-6>
schema:url
schema:workExample

Content-negotiable representations

ウインドウを閉じる

WorldCatにログインしてください 

アカウントをお持ちではないですか?簡単に 無料アカウントを作成することができます。.