Kontakt
Jak kupować
Dostawa
Doradca ds. zakupów
Angielski
172 b
30 dni na zwrot towaru
Klienci kupili także
/
Miękka
109.99
zł
/
Miękka
62.92
zł
/
Miękka
138.20
zł
/
Miękka
134.18
zł
/
Twarda
94.74
zł
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.
Informacje o książce
Angielski
Kategoria
Podaruj tę książkę jeszcze dziś
To łatwe
1 Dodaj książkę do koszyka i wybierz „dostarczyć jako prezent” 2 W odpowiedzi wyślemy Ci bon 3 Książka dotrze na adres obdarowanegoMogłoby Cię także zainteresować
/
Miękka
424.85
zł
/
Twarda
387.91
zł
/
Miękka
147.53
zł
Cześć! Jestem Libroamiko, Twój doradca książkowy.
Jak mogę Ci pomóc?