Lecture Notes in Statistics - Proceedings

Copula Theory and Its Applications

Proceedings of the Workshop Held in Warsaw, 25-26 September 2009

Editors: Jaworski, P., Durante, F., Härdle, W.K., Rychlik, T. (Eds.)

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  • ISBN 978-3-642-12465-5
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About this book

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 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Table of contents (17 chapters)

  • Copula Theory: An Introduction

    Durante, Fabrizio (et al.)

    Pages 3-31

  • Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes

    Bielecki, Tomasz R. (et al.)

    Pages 33-76

  • Copula Estimation

    Choroś, Barbara (et al.)

    Pages 77-91

  • Pair-Copula Constructions of Multivariate Copulas

    Czado, Claudia

    Pages 93-109

  • Risk Aggregation

    Embrechts, Paul (et al.)

    Pages 111-126

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-3-642-12465-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $149.00
price for USA
  • ISBN 978-3-642-12464-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Copula Theory and Its Applications
Book Subtitle
Proceedings of the Workshop Held in Warsaw, 25-26 September 2009
Editors
  • Piotr Jaworski
  • Fabrizio Durante
  • Wolfgang Karl Härdle
  • Tomasz Rychlik
Series Title
Lecture Notes in Statistics - Proceedings
Series Volume
198
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-12465-5
DOI
10.1007/978-3-642-12465-5
Softcover ISBN
978-3-642-12464-8
Series ISSN
1869-7240
Edition Number
1
Number of Pages
XVIII, 327
Number of Illustrations and Tables
25 b/w illustrations
Topics