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Copulae in mathematical and quantitative finance : proceedings of the workshop held in Cracow, 10-11 July 2012 / Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.

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Meeting:
Workshop "Copulae in Mathematical and Quantitative Finance" (2012 : Kraków, Poland)
Language:
English.
Publication date:
2013
Imprint:
Berlin ; Heidelberg : Springer, c2013.
Format:
  • Book, Conference Proceedings
  • xii, 294 p. : ill. ; 24 cm.
Title Variation:
Proceedings of the workshop held in Cracow, 10-11 July 2012
Bibliography:
Includes bibliographical references and index.
Contents:
  • A convolution-based autoregressive process / Umberto Cherubini and Fabio Gobbi
  • Selection of Vine Copulas / Claudia Czado, Eike Christian Brechmann, and Lutz Gruber
  • Copulas in machine learning / Gal Elidan
  • An overview of the Goodness-of-Fit test problem for Copulas / Jean-David Fermanian
  • Assessing and modeling asymmetry in bivariate continuous data / Christian Genest and Johanna G. Nešlehová
  • Modeling time-varying dependencies between positive-valued high-frequency time series / Nikolaus Hautsch, Ostap Okhrin, and Alexander Ristig
  • The limiting properties of Copulas under univariate conditioning / Piotr Jaworski
  • Singular mixture Copulas / Dominic Lauterbach and Dietmar Pfeifer
  • Toward a Copula theory for multivariate regular variation / Haijun Li
  • CIID frailty models and implied Copulas / Jan-Frederik Mai, Matthias Scherer, and Rudi Zagst
  • Copula-based models for multivariate discrete response data / Aristidis K. Nikoloulopoulos
  • Vector generalized linear models : a Gaussian Copula approach / Peter X.-K. Song, Mingyao Li, and Peng Zhang
  • Application of Bernstein Copulas to the pricing of multi-asset derivatives / Benrand Tavin
  • Index.
Contributor:
Jaworski, Piotr (Andrzej Piotr)
Durante, Fabrizio.
Härdle, Wolfgang.
Available in another form:
9783642354076 (online)
(GyWOH)har130371428
Series:
Lecture notes in statistics, 0930-0325 ; 213
Lecture notes in statistics (Springer-Verlag) ; 213.
Subjects:
ISBN:
9783642354069
3642354068
3642354076

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