Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition)

Simulating Copulas: Stochastic Models, Sampling Algorithms, And Applications (Second Edition)

Stochastic Models, Sampling Algorithms, and Applications

Jan-Frederik Mai, Matthias Scherer;;;


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The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for graduate and advanced undergraduate students with a firm background in stochastics. Besides the theoretical foundation, ready-to-implement algorithms and many examples make the book a valuable tool for anyone who is applying the methodology.

  • Introduction
  • Archimedean Copulas
  • Marshall–Olkin Copulas
  • Elliptical Copulas
  • Pair Copula Constructions
  • Sampling Univariate Random Variables
  • The Monte Carlo Method
  • Further Copula Families with Known Extendible Subclass
  • Appendix: Supplemental Material

Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.
Copula;Simulation;Monte Carlo;Random Vector;Dependence ModelKey Features:
  • Explicit focus on stochastic representations of copulas in contrast to an analytical perspective
  • Easy-to-implement simulation schemes given as pseudo code
  • Explicit focus on high-dimensional models
  • Focus on applicability of models, e.g. to portfolio credit risk or insurance