Kontakt
Wie einkaufen
Versand
Kaufberater
Englisch
152 b
Bis zu 30 Tage Rückgaberecht
Kunden kauften auch
/
Broschur
21.09
€
/
Broschur
12.39
€
/
Broschur
40.69
€
/
Broschur
26.19
€
/
Hardcover
19.49
€
Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.
Informationen zum Buch
Englisch
Verschenken Sie dieses Buch noch heute
Es ist ganz einfach
1 Legen Sie das Buch in Ihren Warenkorb und wählen Sie den Versand als Geschenk 2 Wir schicken Ihnen umgehend einen Gutschein 3 Das Buch wird an die Adresse des beschenkten Empfängers geliefertDas könnte Sie auch interessieren
/
Broschur
85.59
€
/
Hardcover
75.89
€
Hallo! Ich bin Libroamiko, dein Buchberater.
Wie kann ich dir helfen?