Copulae in Mathematical and Quantitative Finance

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Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Historically, the Gaussian copula model has been one of the most common models in credit risk.

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Sprog:
Engelsk

ISBN:
9783642354069

Forlag:
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Indbinding:
Paperback

Sideantal:
294

Udgivet:
1. juli 2013

Udgave:
2013

Størrelse:
235x155x23 mm.

Vægt:
4686 g.

Leveringstid: 1-2 uger.
Forventet levering: 15. januar 2025

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Beskrivelse af Copulae in Mathematical and Quantitative Finance

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Historically, the Gaussian copula model has been one of the most common models in credit risk.

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Business og læring > Økonomi og finans

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