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Copulae in mathematical and quantitative finance proceedings of the workshop held in Cracow, 10-11 July 2012 / Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
| Other author | Jaworski, Piotr. |
| Other author | Durante, Fabrizio. |
| Other author | Härdle, Wolfgang. |
| Format | Electronic |
| Publication Info | Heidelberg ; New York : Springer, [2013] |
| Description | xii, 294 pages : illustrations (some color) ; 24 cm. |
| Supplemental Content | Full text available from Springer Books |
| Supplemental Content | Full text available from Springer Nature - Springer Mathematics and Statistics eBooks 2013 English International |
| Subjects |
| Series | Lecture notes in statistics, 0930-0325 ; 213 Lecture notes in statistics (Springer-Verlag) ; 213. ^A162590 |
| Abstract | "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 estimation 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 of talks selected from papers presented at the workshop in Cracow." -- back cover note. |
| Bibliography note | Includes bibliographical references and index. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2013940256 |
| ISBN | 9783642354069 (pbk. : alk. paper) |
| ISBN | 3642354068 (pbk. : alk. paper) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | ✔ Available |