Kontakt
Kako kupovati
Dostava
Savjetnik za kupnju
Engleski
172 b
Do 30 dana za povrat
Kupci su kupili i
/
Meki uvez
24.53
€
/
Meki uvez
14.77
€
/
Meki uvez
39.01
€
/
Meki uvez
30.06
€
/
Meki uvez
46.85
€
/
Tvrdi uvez
22.21
€
Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.
Informacije o knjizi
Engleski
Kategorija
Poklonite ovu knjigu još danas
To je jednostavno
1 Dodajte knjigu u košaricu i odaberite isporuku kao poklon 2 Zauzvrat ćemo vam poslati kupon 3 Knjiga dolazi na adresu poklonoprimcaMoglo bi vas zanimati i
/
Meki uvez
113.92
€
/
Tvrdi uvez
84.86
€
Dobar dan! Ja sam Libroamiko, vaš književni savjetnik.
Kako vam mogu pomoći?