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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- About this book
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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)
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Copula Theory: An Introduction
Pages 3-31
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Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes
Pages 33-76
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Copula Estimation
Pages 77-91
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Pair-Copula Constructions of Multivariate Copulas
Pages 93-109
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Risk Aggregation
Pages 111-126
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Table of contents (17 chapters)
- Download Preface 1 PDF (49.3 KB)
- Download Sample pages 1 PDF (5.3 MB)
- Download Table of contents PDF (111.1 KB)
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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
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- 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
- 25 b/w illustrations
- Topics
