The Resource Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, (electronic resource)

Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, (electronic resource)

Label
Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012
Title
Copulae in Mathematical and Quantitative Finance
Title remainder
Proceedings of the Workshop Held in Cracow, 10-11 July 2012
Statement of responsibility
edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle
Contributor
Editor
Editor
Subject
Language
  • eng
  • eng
Summary
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 of talks selected from papers presented at the workshop in Cracow.
Member of
Dewey number
332.015195
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsedt
  • BZnj6987en8
  • V1zWIhuHluE
  • 1jXvnXogX1w
Language note
English
LC call number
QA276-280
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Jaworski, Piotr.
  • Durante, Fabrizio.
  • Härdle, Wolfgang Karl.
Series statement
Lecture Notes in Statistics - Proceedings,
Series volume
213
http://library.link/vocab/subjectName
  • Statistics
  • Finance
  • Distribution (Probability theory
  • Macroeconomics
  • Statistics for Business, Management, Economics, Finance, Insurance
  • Quantitative Finance
  • Probability Theory and Stochastic Processes
  • Macroeconomics/Monetary Economics//Financial Economics
Label
Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin
Dimensions
unknown
Edition
1st ed. 2013.
Extent
1 online resource (299 p.)
Form of item
online
Isbn
9783642354076
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-642-35407-6
Specific material designation
remote
System control number
  • (CKB)2670000000388647
  • (EBL)1317514
  • (SSID)ssj0000935584
  • (PQKBManifestationID)11468920
  • (PQKBTitleCode)TC0000935584
  • (PQKBWorkID)10953122
  • (PQKB)11090715
  • (DE-He213)978-3-642-35407-6
  • (MiAaPQ)EBC1317514
  • (EXLCZ)992670000000388647
Label
Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012, edited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin
Dimensions
unknown
Edition
1st ed. 2013.
Extent
1 online resource (299 p.)
Form of item
online
Isbn
9783642354076
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-642-35407-6
Specific material designation
remote
System control number
  • (CKB)2670000000388647
  • (EBL)1317514
  • (SSID)ssj0000935584
  • (PQKBManifestationID)11468920
  • (PQKBTitleCode)TC0000935584
  • (PQKBWorkID)10953122
  • (PQKB)11090715
  • (DE-He213)978-3-642-35407-6
  • (MiAaPQ)EBC1317514
  • (EXLCZ)992670000000388647

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