| 書(shū)目名稱(chēng) | Copulae in Mathematical and Quantitative Finance |
| 副標(biāo)題 | Proceedings of the W |
| 編輯 | Piotr Jaworski,Fabrizio Durante,Wolfgang Karl H?rd |
| 視頻video | http://file.papertrans.cn/239/238183/238183.mp4 |
| 概述 | A new reference book for copula-based stochastic models in quantitative finance.An up-to-date account about recent developments in copula-based financial models.Includes supplementary material: |
| 叢書(shū)名稱(chēng) | Lecture Notes in Statistics |
| 圖書(shū)封面 |  |
| 描述 | .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 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book?includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions o |
| 出版日期 | Conference proceedings 2013 |
| 關(guān)鍵詞 | Gaussian copula model; Random variables; Tail dependence; Time-varying models; quantitative finance |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-35407-6 |
| isbn_softcover | 978-3-642-35406-9 |
| isbn_ebook | 978-3-642-35407-6Series ISSN 0930-0325 Series E-ISSN 2197-7186 |
| issn_series | 0930-0325 |
| copyright | Springer-Verlag Berlin Heidelberg 2013 |
|Archiver|手機(jī)版|小黑屋|
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