Includes bibliographical references (p. 283-292) and index.
General Introduction to Copulas-- Univariate Sampling Schemes-- Introduction to Monte Carlo Techniques-- Elliptical Copulas-- Archimedean Copulas-- Marshall-Olkin Copulas-- Pair-Copula Construction-- Applications.
(source: Nielsen Book Data)
This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, and more) as well as on different construction principles (factor models, pair-copula construction, and more). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology. (source: Nielsen Book Data)