Simulating Copulas Stochastic Models Sampling Algorithms And Applications
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Simulating Copulas Stochastic Models Sampling Algorithms And Applications Second Edition
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Author : Jan-frederik Mai
language : en
Publisher: #N/A
Release Date : 2017-06-07
Simulating Copulas Stochastic Models Sampling Algorithms And Applications Second Edition written by Jan-frederik Mai and has been published by #N/A this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-07 with Mathematics categories.
'The book remains a valuable tool both for statisticians who are already familiar with the theory of copulas and just need to develop sampling algorithms, and for practitioners who want to learn copulas and implement the simulation techniques needed to exploit the potential of copulas in applications.'Mathematical ReviewsThe book provides the 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 (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.
Simulating Copulas
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Author : Jan-Frederik Mai
language : en
Publisher: World Scientific
Release Date : 2012
Simulating Copulas written by Jan-Frederik Mai and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
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 (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.Errata(s)Errata (128 KB)
Simulating Copulas Stochastic Models Sampling Algorithms And Applications
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Author : Matthias Scherer
language : en
Publisher: World Scientific
Release Date : 2012-06-26
Simulating Copulas Stochastic Models Sampling Algorithms And Applications written by Matthias Scherer and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-26 with Mathematics categories.
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 (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.
Analytical And Stochastic Modeling Techniques And Applications
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Author : Alexander Dudin
language : en
Publisher: Springer
Release Date : 2013-06-12
Analytical And Stochastic Modeling Techniques And Applications written by Alexander Dudin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-12 with Computers categories.
This book constitutes the refereed proceedings of the 20th International Conference on Analytical and Stochastic Modelling and Applications, ASMTA 2013, held in Ghent, Belgium, in July 2013. The 32 papers presented were carefully reviewed and selected from numerous submissions. The focus of the papers is on the following application topics: complex systems; computer and information systems; communication systems and networks; wireless and mobile systems and networks; peer-to-peer application and services; embedded systems and sensor networks; workload modelling and characterization; road traffic and transportation; social networks; measurements and hybrid techniques; modeling of virtualization; energy-aware optimization; stochastic modeling for systems biology; biologically inspired network design.
Topics In Statistical Simulation
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Author : V.B. Melas
language : en
Publisher: Springer
Release Date : 2014-12-05
Topics In Statistical Simulation written by V.B. Melas and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-05 with Mathematics categories.
The Department of Statistical Sciences of the University of Bologna in collaboration with the Department of Management and Engineering of the University of Padova, the Department of Statistical Modelling of Saint Petersburg State University, and INFORMS Simulation Society sponsored the Seventh Workshop on Simulation. This international conference was devoted to statistical techniques in stochastic simulation, data collection, analysis of scientific experiments, and studies representing broad areas of interest. The previous workshops took place in St. Petersburg, Russia in 1994, 1996, 1998, 2001, 2005, and 2009. The Seventh Workshop took place in the Rimini Campus of the University of Bologna, which is in Rimini’s historical center.
Financial Engineering With Copulas Explained
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Author : J. Mai
language : en
Publisher: Springer
Release Date : 2014-10-02
Financial Engineering With Copulas Explained written by J. Mai and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-02 with Business & Economics categories.
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
New Models And Methods In Dynamic Portfolio Optimization
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Author : Lijun Bo
language : en
Publisher: World Scientific
Release Date : 2025-06-04
New Models And Methods In Dynamic Portfolio Optimization written by Lijun Bo and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-04 with Business & Economics categories.
This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and reinforcement learning.These models include the default contagion model with infinite regime-switching under complete information and partial information; portfolio optimization model with consumption habit formation; optimal tracking model; extended Merton's problem with relaxed benchmark tracking and reinforcement learning of tracking portfolio.The methods for addressing these problems are by developing the monotone dynamical system, martingale representation theorem under partial information, quadratic BSDE with jumps, duality method, decomposition-homogenization technique of Neumann problem, stochastic flow, and q-function learning with state reflection. For the sake of the reader's convenience, preliminary knowledge on stochastic analysis and stochastic control are summarized in Chapters 2 and 3, which also serve as a brief basic introduction to the theory of SDEs, BSDEs, and the theory of optimal stochastic control.The book will be a good reference for graduate students and researchers working on stochastic control and mathematical finance. The reader may pursue some presented research problems and be inspired to formulate and study other new and interesting problems in dynamic portfolio optimization and beyond.
Statistics In Action
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Author : Jerald F. Lawless
language : en
Publisher: CRC Press
Release Date : 2014-03-03
Statistics In Action written by Jerald F. Lawless and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-03 with Mathematics categories.
Commissioned by the Statistical Society of Canada (SSC), Statistics in Action: A Canadian Outlook helps both general readers and users of statistics better appreciate the scope and importance of statistics. It presents the ways in which statistics is used while highlighting key contributions that Canadian statisticians are making to science, techno
Independent Random Sampling Methods
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Author : Luca Martino
language : en
Publisher: Springer
Release Date : 2018-03-31
Independent Random Sampling Methods written by Luca Martino and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-31 with Computers categories.
This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.
Uncertainty Modeling
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Author : Vladik Kreinovich
language : en
Publisher: Springer
Release Date : 2017-01-31
Uncertainty Modeling written by Vladik Kreinovich and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-31 with Technology & Engineering categories.
This book commemorates the 65th birthday of Dr. Boris Kovalerchuk, and reflects many of the research areas covered by his work. It focuses on data processing under uncertainty, especially fuzzy data processing, when uncertainty comes from the imprecision of expert opinions. The book includes 17 authoritative contributions by leading experts.