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Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Jan-Frederik Mai and Matthias Scherer
Publisher: 
Imperial College Press
Publication Date: 
2012
Number of Pages: 
295
Format: 
Hardcover
Series: 
Series in Quantitative Finance 4
Price: 
108.00
ISBN: 
978-1-84816-874-9
Category: 
Monograph
We do not plan to review this book.
  • Introduction
  • Archimedean Copulas
  • Marshall–Olkin Copulas
  • Elliptical Copulas
  • Pair Copula Constructions
  • Sampling Univariate Random Variables
  • The Monte Carlo Method

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