Simulating copulas : stochastic models, sampling algorithms and applications / Jan-Frederik Mai, Matthias Scherer.

This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (...

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Bibliographic Details

Online Access:	Full Text (via ProQuest)
Main Author:	Mai, Jan-Frederik
Other Authors:	Scherer, Matthias, 1979-
Format:	eBook
Language:	English
Published:	Singapore ; Hackensack, NJ : World Scientific, ©2012.
Series:	Series in quantitative finance ; v. 4.
Subjects:	Copulas (Mathematical statistics) Stochastic models. Stochastic models