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Simulating copulas : stochastic models, sampling algorithms, and applications / Jan-Frederik Mai, Matthias Scherer.

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Author/Creator:
Mai, Jan-Frederik.
Language:
English.
Publication date:
2012
Imprint:
London : Imperial College Press ; Hackensack, NJ : World Scientific, c2012.
Format:
  • Book
  • xiv, 295 p. : ill ; 24 cm.
Bibliography:
Includes bibliographical references (p. 283-292) and index.
Summary:
This tome provides the reader with a background on simulating copulas and multivariate distribution in general. It unifies the scattered literature on the simulation of various families of copulas as well as on different construction principles.
Contributor:
Scherer, Matthias.
Series:
Series in quantitative finance ; v. 4.
Subjects:
ISBN:
9781848168749
1848168748

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