Copula Theory and Its Applications Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 /

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 50's, copulas have gained considerable popularity in several fields of applied...

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Λεπτομέρειες βιβλιογραφικής εγγραφής
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Άλλοι συγγραφείς: Jaworski, Piotr (Επιμελητής έκδοσης), Durante, Fabrizio (Επιμελητής έκδοσης), Härdle, Wolfgang Karl (Επιμελητής έκδοσης), Rychlik, Tomasz (Επιμελητής έκδοσης)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
Σειρά:Lecture Notes in Statistics, 198
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Περιγραφή
Περίληψη: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 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
Φυσική περιγραφή:XVIII, 327 p. 25 illus. online resource.
ISBN:9783642124655
ISSN:0930-0325 ;