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Copulae in Mathematical and Quantitative Finance

- Proceedings of the Workshop Held in Cracow, 10-11 July 2012

indgår i Lecture Notes in Statistics serien

indgår i Lecture Notes in Statistics - Proceedings serien

Copulae in Mathematical and Quantitative Finance
Bag om 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642354069
  • Indbinding:
  • Paperback
  • Sideantal:
  • 294
  • Udgivet:
  • 1. juli 2013
  • Udgave:
  • 2013
  • Størrelse:
  • 235x155x23 mm.
  • Vægt:
  • 4686 g.
  • 2-3 uger.
  • 26. november 2024
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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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