Simulating Copulas Stochastic Models Sampling Algorithms And Applications Second Edition
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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.
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.
Representative Points Of Statistical Distributions
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Author : Kai-Tai Fang
language : en
Publisher: CRC Press
Release Date : 2025-06-12
Representative Points Of Statistical Distributions written by Kai-Tai Fang and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-12 with Mathematics categories.
Statistical simulation has become a cornerstone in statistical research and applications. The aim of Representative Points of Statistical Distributions: Applications in Statistical Inference is to present a comprehensive exploration of various methods for statistical simulation and resampling, focusing on consistency and efficiency. It covers a range of representative points (RPs) – Monte Carlo (MC) RPs, quasi-Monte Carlo (QMC) RPs, and mean square error (MSE) RPs – and their applications, and includes a collection of recent developments in the field. It also explores other types of representative points and the corresponding approximate distributions, and delves into the realm of statistical simulation by exploring the limitations of traditional MC methods and the innovations brought about by the bootstrap method. In addition, the text introduces other kinds of representative points and the corresponding approximate distributions such as QMC and MSE methods. Features Comprehensive exploration of statistical simulation methods: provides a deep dive into MC methods and bootstrap methods, and introduces other kinds of RPs and the corresponding approximate distributions, such as QMC and MSE methods. Emphasis on consistency and efficiency: highlights the advantages of these methods in terms of consistency and efficiency, addressing the slow convergence rate of classical statistical simulation. Collection of recent developments: brings together the latest advancements in the field of statistical simulation, keeping readers up to date with the most current research. Practical applications: includes numerous practical applications of various types of RPs (MC-RPs, QMC-RPs, and MSE-RPs) in statistical inference and simulation. Educational resource: can serve as a textbook for postgraduate students, a reference book for undergraduate students, and a valuable resource for professionals in various fields. The book serves as a valuable resource for postgraduate students, researchers, and practitioners in statistics, mathematics, and other quantitative fields.
Macroprudential Supervision In Insurance
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Author : J. Monkiewicz
language : en
Publisher: Springer
Release Date : 2014-11-04
Macroprudential Supervision In Insurance written by J. Monkiewicz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-04 with Business & Economics categories.
Macroprudential policies, tools and supervision have become important since the last financial crisis. This book addresses general and methodological issues and provides a framework for the analysis of macroprudential policies and supervision in insurance. It focuses on policy related issues and global level aspects of macroprudential in insurance.
Tropical Ecosystems In The 21st Century
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Author :
language : en
Publisher: Academic Press
Release Date : 2020-03-19
Tropical Ecosystems In The 21st Century written by and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-19 with Science categories.
Advances in Ecological Research, Volume 62, the latest release in this ongoing series, covers a long list of topics, including Monitoring tropical insects in the 21st Century, The distribution and structure of long-term and large-scale fire manipulation experiments, The Agua Salud Project: Basic and applied research informing management of tropical landscapes for the 21st century, Conservation strategies and principles for tropical forests, Assessing forest quality using satellite remote sensing data: A test case using the Sabah Biodiversity Experiment, eDNA approaches to understand the current state and future of biodiversity of the Amazonian biome: pitfalls, improvements and challenges, and much more.
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.
Vector Generalized Linear And Additive Models
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Author : Thomas W. Yee
language : en
Publisher: Springer
Release Date : 2015-09-11
Vector Generalized Linear And Additive Models written by Thomas W. Yee and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-11 with Mathematics categories.
This book presents a greatly enlarged statistical framework compared to generalized linear models (GLMs) with which to approach regression modelling. Comprising of about half-a-dozen major classes of statistical models, and fortified with necessary infrastructure to make the models more fully operable, the framework allows analyses based on many semi-traditional applied statistics models to be performed as a coherent whole. Since their advent in 1972, GLMs have unified important distributions under a single umbrella with enormous implications. However, GLMs are not flexible enough to cope with the demands of practical data analysis. And data-driven GLMs, in the form of generalized additive models (GAMs), are also largely confined to the exponential family. The methodology here and accompanying software (the extensive VGAM R package) are directed at these limitations and are described comprehensively for the first time in one volume. This book treats distributions and classical models as generalized regression models, and the result is a much broader application base for GLMs and GAMs. The book can be used in senior undergraduate or first-year postgraduate courses on GLMs or categorical data analysis and as a methodology resource for VGAM users. In the second part of the book, the R package VGAM allows readers to grasp immediately applications of the methodology. R code is integrated in the text, and datasets are used throughout. Potential applications include ecology, finance, biostatistics, and social sciences. The methodological contribution of this book stands alone and does not require use of the VGAM package.
Copulas And Dependence Models With Applications
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Author : Manuel Úbeda Flores
language : en
Publisher: Springer
Release Date : 2017-10-13
Copulas And Dependence Models With Applications written by Manuel Úbeda Flores and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-13 with Mathematics categories.
This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.