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

ผู้แต่ง: Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
สำนักพิมพ์: Berlin ; New York : Springer, ©2013.
ชุด: Lecture notes in statistics (Springer-Verlag), 213.
ครั้งที่พิมพ์/รูปแบบ:   หนังสืออีเล็กทรอนิกส์ : เอกสาร : สิ่งพิมพ์การประชุม : ภาษาอังกฤษดูครั้งที่พิมพ์และรูปแบบ
ฐานข้อมูล:WorldCat
สรุป:
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  อ่านมากขึ้น…
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ขนิดวัสดุ: สิ่งพิมพ์การประชุม, เอกสาร, ทรัพยากรอินแทอร์เน็ต
ประเภทของเอกสาร: แหล่งข้อมูลอินเทอร์เน็ต, ไฟล์คอมพิวเตอร์
ผู้แต่งทั้งหมด : ผู้แต่งร่วม Piotr Jaworski; Fabrizio Durante; Wolfgang Härdle
ISBN: 9783642354076 3642354076 3642354068 9783642354069
OCLC Number: 851442803
หมายเหตุ: International conference proceedings.
Includes index.
คำอธิบาย: 1 online resource.
สารบัญ: 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.
ชื่อชุด: Lecture notes in statistics (Springer-Verlag), 213.
ความรับผิดชอบ: Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
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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  อ่านมากขึ้น…

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