Sampling Nested Archimedean Copulas
Jan Marius Hofert
Broschiertes Buch

Sampling Nested Archimedean Copulas

with Applications to CDO Pricing

Versandkostenfrei!
Versandfertig in 6-10 Tagen
52,99 €
inkl. MwSt.
PAYBACK Punkte
26 °P sammeln!
Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions...