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  • Conference proceedings
  • © 2010

Copula Theory and Its Applications

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

Editors:

  1. Piotr Jaworski

    1. , Faculty of Mathematics Informatics, University of Warsaw, Warszawa, Poland

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  2. Fabrizio Durante

    1. , Department of Knowledge-Based, Johannes Kepler Universität, Linz, Austria

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  3. Wolfgang Karl Härdle

    1. Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

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    You can also search for this editor in PubMed   Google Scholar

  4. Tomasz Rychlik

    1. , Mathematical Institute, Polish Academy of Sciences, Toruń, Poland

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  • A new reference book for copula-based stochastic models
  • A series of survey papers provides to the reader a general
  • overview to copula theory and its most important applications
  • An up-to-date account about recent developments in
  • Includes supplementary material: sn.pub/extras

Part of the book series: Lecture Notes in Statistics (LNS, volume 198)

Part of the book sub series: Lecture Notes in Statistics - Proceedings (LNSP)

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Table of contents (17 papers)

  1. Front Matter

    Pages i-xviii
    PDF

  2. Surveys

    1. Front Matter

      Pages 1-1
      PDF

    2. Copula Theory: An Introduction

      • Fabrizio Durante, Carlo Sempi
      Pages 3-31

    3. Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes

      • Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski
      Pages 33-76

    4. Copula Estimation

      • Barbara Choroś, Rustam Ibragimov, Elena Permiakova
      Pages 77-91

    6. Risk Aggregation

      • Paul Embrechts, Giovanni Puccetti
      Pages 111-126

    7. Extreme-Value Copulas

      • Gordon Gudendorf, Johan Segers
      Pages 127-145

    9. Tail Behaviour of Copulas

      • Piotr Jaworski
      Pages 161-186

    11. Copula-Based Measures of Multivariate Association

      • Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaißer, Martin Ruppert
      Pages 209-236

  3. Contributed Papers

    1. Front Matter

      Pages 255-255
      PDF

    2. A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets

      • Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, Silvia Romagnoli
      Pages 257-265

    4. Testing Under the Extended Koziol-Green Model

      • Auguste Gaddah, Roel Braekers
      Pages 279-288
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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.
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Keywords

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Editors and Affiliations

  • , Faculty of Mathematics Informatics, University of Warsaw, Warszawa, Poland

    Piotr Jaworski

  • , Department of Knowledge-Based, Johannes Kepler Universität, Linz, Austria

    Fabrizio Durante

  • Ladislaus von Bortkiewicz Chair of Stati, C.A.S.E. Centre for Applied Statistics a, Humboldt-Universität zu Berlin, Berlin, Germany

    Wolfgang Karl Härdle

  • , Mathematical Institute, Polish Academy of Sciences, Toruń, Poland

    Tomasz Rychlik

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Bibliographic Information

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Access via your institution

Buy it now

eBook USD 129.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

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