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Copulae in Mathematical and Quantitative Finance
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Copulae in Mathematical and Quantitative Finance

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Historically, the Gaussian copula model has been one of the most common models in credit risk.

Undertittel
Proceedings of the Workshop Held in Cracow, 10-11 July 2012
Opplag
2013 ed.
ISBN
9783642354069
Språk
Engelsk
Vekt
310 gram
Utgivelsesdato
1.7.2013
Antall sider
294