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Copulae in mathematical and quantita...

Durante, Fabrizio,

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Copulae in mathematical and quantitative finance : = proceedings of the workshop held in Cracow, 10-11 July 2012 /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Copulae in mathematical and quantitative finance :/ Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
Reminder of title:	proceedings of the workshop held in Cracow, 10-11 July 2012 /
other author:	Durante, Fabrizio,
Published:	Heidelberg ;Springer, : c2013.,
Description:	xii, 294 p. :ill. (some col.) ;24 cm.
Subject:	Copulas (Mathematical statistics) -
ISBN:	9783642354069 (pbk.) :

Copulae in mathematical and quantitative finance : = proceedings of the workshop held in Cracow, 10-11 July 2012 /
Copulae in mathematical and quantitative finance :proceedings of the workshop held in Cracow, 10-11 July 2012 /Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors. - Heidelberg ;Springer,c2013. - xii, 294 p. :ill. (some col.) ;24 cm. - Lecture notes in statistics,2130930-0325 ;. - Lecture notes in statistics (Springer-Verlag) ;213..

Includes bibliographical references and index.

"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 estimation 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." --

ISBN: 9783642354069 (pbk.) :EUR84.99

LCCN: 2013940256Subjects--Topical Terms:

1086625
Copulas (Mathematical statistics)

LC Class. No.: QA273.6 / .C668 2013

Copulae in mathematical and quantitative finance : = proceedings of the workshop held in Cracow, 10-11 July 2012 /
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020 $a 3642354068 (pbk.)
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020 $z 3642354076 (ebk.)
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050 0 0 $a QA273.6 $b .C668 2013
245 1 0 $a Copulae in mathematical and quantitative finance : $b proceedings of the workshop held in Cracow, 10-11 July 2012 / $c Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors.
260 # $a Heidelberg ; $a New York : $b Springer, $c c2013.
300 $a xii, 294 p. : $b ill. (some col.) ; $c 24 cm.
490 1 0 $a Lecture notes in statistics, $x 0930-0325 ; $v 213
504 $a Includes bibliographical references and index.
520 # $a "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 estimation 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." -- $c back cover note.
650 # 0 $a Copulas (Mathematical statistics) $3 1086625
700 1 # $a Durante, Fabrizio, $e editor of compilation. $3 2013042
700 1 # $a Härdle, Wolfgang, $e editor of compilation. $3 2013043
700 1 # $a Jaworski, Piotr, $e editor of compilation. $3 2013044
830 0 $a Lecture notes in statistics (Springer-Verlag) ; $v 213. $3 2013045