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Copula Theory and Its Applications

Name: Copula Theory and Its Applications
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 05281223
Price: 132.69 EUR
Availability: InStock
Author: Piotr Jaworski
ISBN: 9783642124648

Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

Language

English

Book Paperback

Libristo code: 05281223

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, July 2010

Copulas are mathematical objects that fully capture the dependence structure among random variables... Full description

Libristo code: 05281223

325 b

132.69 € VAT included

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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. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc.§This book is divided into two main parts: Part I Surveys contains 11 manuscripts that provide an up-to-date account of essential aspects of copula models. Part II Contributions collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.