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Autor Wolfgang Karl Härdle |
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Título : Applied Multivariate Statistical Analysis Tipo de documento: documento electrónico Autores: Wolfgang Karl Härdle ; SpringerLink (Online service) ; Simar, Léopold Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2007 Número de páginas: XII, 458 p Il.: online resource ISBN/ISSN/DL: 978-3-540-72244-1 Idioma : Inglés (eng) Palabras clave: Mathematics Economics, Mathematical Probabilities Statistics Economic theory Probability Theory and Stochastic Processes Statistical Methods Theory/Quantitative Economics/Mathematical Quantitative Finance for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Most of the observable phenomena in the empirical sciences are of a multivariate nature.In financial studies, assets in stock markets are observed simultaneously and their joint development is analyzed to better understand general tendencies and to track indices. In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior. The underlying theoretical structure of these and many other quantitative studies of applied sciences is multivariate. Focussing on applications this book presents the tools and concepts of multivariate data analysis in a way that is understandable for non-mathematicians and practitioners who face statistical data analysis. In this second edition a wider scope of methods and applications of multivariate statistical analysis is introduced. All quantlets have been translated into the R and Matlab language and are made available online Nota de contenido: Descriptive Techniques -- Comparison of Batches -- Multivariate Random Variables -- A Short Excursion into Matrix Algebra -- Moving to Higher Dimensions -- Multivariate Distributions -- Theory of the Multinormal -- Theory of Estimation -- Hypothesis Testing -- Multivariate Techniques -- Decomposition of Data Matrices by Factors -- Principal Components Analysis -- Factor Analysis -- Cluster Analysis -- Discriminant Analysis -- Correspondence Analysis -- Canonical Correlation Analysis -- Multidimensional Scaling -- Conjoint Measurement Analysis -- Applications in Finance -- Computationally Intensive Techniques En línea: http://dx.doi.org/10.1007/978-3-540-72244-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34667 Applied Multivariate Statistical Analysis [documento electrónico] / Wolfgang Karl Härdle ; SpringerLink (Online service) ; Simar, Léopold . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2007 . - XII, 458 p : online resource.
ISBN : 978-3-540-72244-1
Idioma : Inglés (eng)
Palabras clave: Mathematics Economics, Mathematical Probabilities Statistics Economic theory Probability Theory and Stochastic Processes Statistical Methods Theory/Quantitative Economics/Mathematical Quantitative Finance for Business/Economics/Mathematical Finance/Insurance Clasificación: 51 Matemáticas Resumen: Most of the observable phenomena in the empirical sciences are of a multivariate nature.In financial studies, assets in stock markets are observed simultaneously and their joint development is analyzed to better understand general tendencies and to track indices. In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior. The underlying theoretical structure of these and many other quantitative studies of applied sciences is multivariate. Focussing on applications this book presents the tools and concepts of multivariate data analysis in a way that is understandable for non-mathematicians and practitioners who face statistical data analysis. In this second edition a wider scope of methods and applications of multivariate statistical analysis is introduced. All quantlets have been translated into the R and Matlab language and are made available online Nota de contenido: Descriptive Techniques -- Comparison of Batches -- Multivariate Random Variables -- A Short Excursion into Matrix Algebra -- Moving to Higher Dimensions -- Multivariate Distributions -- Theory of the Multinormal -- Theory of Estimation -- Hypothesis Testing -- Multivariate Techniques -- Decomposition of Data Matrices by Factors -- Principal Components Analysis -- Factor Analysis -- Cluster Analysis -- Discriminant Analysis -- Correspondence Analysis -- Canonical Correlation Analysis -- Multidimensional Scaling -- Conjoint Measurement Analysis -- Applications in Finance -- Computationally Intensive Techniques En línea: http://dx.doi.org/10.1007/978-3-540-72244-1 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34667 Ejemplares
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Título : Applied Multivariate Statistical Analysis Tipo de documento: documento electrónico Autores: Wolfgang Karl Härdle ; SpringerLink (Online service) ; Simar, Léopold Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2012 Número de páginas: XVII, 516 p. 424 illus., 28 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-642-17229-8 Idioma : Inglés (eng) Palabras clave: Statistics Economics, Mathematical Economic theory for Business/Economics/Mathematical Finance/Insurance Quantitative Finance Theory/Quantitative Economics/Mathematical Methods Statistical Theory and Clasificación: 51 Matemáticas Resumen: Most of the observable phenomena in the empirical sciences are of a multivariate nature. In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and to track indices. In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior. The underlying data structure of these and many other quantitative studies of applied sciences is multivariate. Focusing on applications this book presents the tools and concepts of multivariate data analysis in a way that is understandable for non-mathematicians and practitioners who need to analyze statistical data. The book surveys the basic principles of multivariate statistical data analysis and emphasizes both exploratory and inferential statistics. All chapters have exercises that highlight applications in different fields. The third edition of this book on Applied Multivariate Statistical Analysis offers the following new features A new Chapter on Regression Models has been added All numerical examples have been redone, updated and made reproducible in MATLAB or R, see www.quantlet.org for a repository of quantlets Nota de contenido: I. Descriptive Techniques: Comparison of Batches -- II. Multivariate Random Variables: A Short Excursion into Matrix Algebra -- Moving to Higher Dimensions -- Multivariate Distributions -- Theory of the Multinormal -- Theory of Estimation -- Hypothesis Testing -- III. Multivariate Techniques: Regression Models -- Decomposition of Data Matrices by Factors -- Principal Components Analysis.- Factor Analysis -- Cluster Analysis.- Discriminant Analysis -- Correspondence Analysis -- Canonical Correlation Analysis -- Multidimensional Scaling -- Conjoint Measurement Analysis -- Applications in Finance -- Computationally Intensive Techniques -- IV. Appendix -- Bibliography -- Index En línea: http://dx.doi.org/10.1007/978-3-642-17229-8 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32908 Applied Multivariate Statistical Analysis [documento electrónico] / Wolfgang Karl Härdle ; SpringerLink (Online service) ; Simar, Léopold . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2012 . - XVII, 516 p. 424 illus., 28 illus. in color : online resource.
ISBN : 978-3-642-17229-8
Idioma : Inglés (eng)
Palabras clave: Statistics Economics, Mathematical Economic theory for Business/Economics/Mathematical Finance/Insurance Quantitative Finance Theory/Quantitative Economics/Mathematical Methods Statistical Theory and Clasificación: 51 Matemáticas Resumen: Most of the observable phenomena in the empirical sciences are of a multivariate nature. In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and to track indices. In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication. In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior. The underlying data structure of these and many other quantitative studies of applied sciences is multivariate. Focusing on applications this book presents the tools and concepts of multivariate data analysis in a way that is understandable for non-mathematicians and practitioners who need to analyze statistical data. The book surveys the basic principles of multivariate statistical data analysis and emphasizes both exploratory and inferential statistics. All chapters have exercises that highlight applications in different fields. The third edition of this book on Applied Multivariate Statistical Analysis offers the following new features A new Chapter on Regression Models has been added All numerical examples have been redone, updated and made reproducible in MATLAB or R, see www.quantlet.org for a repository of quantlets Nota de contenido: I. Descriptive Techniques: Comparison of Batches -- II. Multivariate Random Variables: A Short Excursion into Matrix Algebra -- Moving to Higher Dimensions -- Multivariate Distributions -- Theory of the Multinormal -- Theory of Estimation -- Hypothesis Testing -- III. Multivariate Techniques: Regression Models -- Decomposition of Data Matrices by Factors -- Principal Components Analysis.- Factor Analysis -- Cluster Analysis.- Discriminant Analysis -- Correspondence Analysis -- Canonical Correlation Analysis -- Multidimensional Scaling -- Conjoint Measurement Analysis -- Applications in Finance -- Computationally Intensive Techniques -- IV. Appendix -- Bibliography -- Index En línea: http://dx.doi.org/10.1007/978-3-642-17229-8 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32908 Ejemplares
Signatura Medio Ubicación Sub-localización Sección Estado ningún ejemplar Applied Quantitative Finance / SpringerLink (Online service) ; Wolfgang Karl Härdle ; Nikolaus Hautsch ; Ludger Overbeck (2008)
Título : Applied Quantitative Finance Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Wolfgang Karl Härdle ; Nikolaus Hautsch ; Ludger Overbeck Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2008 Número de páginas: XXVI, 447 p Il.: online resource ISBN/ISSN/DL: 978-3-540-69179-2 Idioma : Inglés (eng) Palabras clave: Mathematics Finance Economics, Mathematical Statistics Quantitative for Business/Economics/Mathematical Finance/Insurance Finance, general Clasificación: 51 Matemáticas Resumen: Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages Nota de contenido: Value at Risk -- Modeling Dependencies with Copulae -- Quantification of Spread Risk by Means of Historical Simulation -- A Copula-Based Model of the Term Structure of CDO Tranches -- VaR in High Dimensional Systems – a Conditional Correlation Approach -- Credit Risk -- Rating Migrations -- Cross- and Autocorrelation in Multi-Period Credit Portfolio Models -- Risk Measurement with Spectral Capital Allocation -- Valuation and VaR Computation for CDOs Using Stein’s Method -- Implied Volatility -- Least Squares Kernel Smoothing of the Implied Volatility Smile -- Numerics of Implied Binomial Trees -- Application of Extended Kalman Filter to SPD Estimation -- Stochastic Volatility Estimation Using Markov Chain Simulation -- Measuring and Modeling Risk Using High-Frequency Data -- Valuation of Multidimensional Bermudan Options -- Econometrics -- Multivariate Volatility Models -- The Accuracy of Long-term Real Estate Valuations -- Locally Time Homogeneous Time Series Modelling -- Simulation Based Option Pricing -- High-Frequency Volatility and Liquidity -- Statistical Process Control in Asset Management -- Canonical Dynamics Mechanism of Monetary Policy and Interest Rate En línea: http://dx.doi.org/10.1007/978-3-540-69179-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34322 Applied Quantitative Finance [documento electrónico] / SpringerLink (Online service) ; Wolfgang Karl Härdle ; Nikolaus Hautsch ; Ludger Overbeck . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2008 . - XXVI, 447 p : online resource.
ISBN : 978-3-540-69179-2
Idioma : Inglés (eng)
Palabras clave: Mathematics Finance Economics, Mathematical Statistics Quantitative for Business/Economics/Mathematical Finance/Insurance Finance, general Clasificación: 51 Matemáticas Resumen: Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages Nota de contenido: Value at Risk -- Modeling Dependencies with Copulae -- Quantification of Spread Risk by Means of Historical Simulation -- A Copula-Based Model of the Term Structure of CDO Tranches -- VaR in High Dimensional Systems – a Conditional Correlation Approach -- Credit Risk -- Rating Migrations -- Cross- and Autocorrelation in Multi-Period Credit Portfolio Models -- Risk Measurement with Spectral Capital Allocation -- Valuation and VaR Computation for CDOs Using Stein’s Method -- Implied Volatility -- Least Squares Kernel Smoothing of the Implied Volatility Smile -- Numerics of Implied Binomial Trees -- Application of Extended Kalman Filter to SPD Estimation -- Stochastic Volatility Estimation Using Markov Chain Simulation -- Measuring and Modeling Risk Using High-Frequency Data -- Valuation of Multidimensional Bermudan Options -- Econometrics -- Multivariate Volatility Models -- The Accuracy of Long-term Real Estate Valuations -- Locally Time Homogeneous Time Series Modelling -- Simulation Based Option Pricing -- High-Frequency Volatility and Liquidity -- Statistical Process Control in Asset Management -- Canonical Dynamics Mechanism of Monetary Policy and Interest Rate En línea: http://dx.doi.org/10.1007/978-3-540-69179-2 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=34322 Ejemplares
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Título : Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Piotr Jaworski ; Fabrizio Durante ; Wolfgang Karl Härdle ; Rychlik, Tomasz Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2010 Colección: Lecture Notes in Statistics, ISSN 0930-0325 num. 198 Número de páginas: XVIII, 327 p. 25 illus Il.: online resource ISBN/ISSN/DL: 978-3-642-12465-5 Idioma : Inglés (eng) Palabras clave: Mathematics Business Management science mathematics Finance Probabilities Statistics Probability Theory and Stochastic Processes Finance, general Statistical Methods for Business/Economics/Mathematical Finance/Insurance Management, Clasificación: 51 Matemáticas Resumen: 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 Nota de contenido: Surveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions En línea: http://dx.doi.org/10.1007/978-3-642-12465-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33759 Copula Theory and Its Applications : Proceedings of the Workshop Held in Warsaw, 25-26 September 2009 [documento electrónico] / SpringerLink (Online service) ; Piotr Jaworski ; Fabrizio Durante ; Wolfgang Karl Härdle ; Rychlik, Tomasz . - Berlin, Heidelberg : Springer Berlin Heidelberg, 2010 . - XVIII, 327 p. 25 illus : online resource. - (Lecture Notes in Statistics, ISSN 0930-0325; 198) .
ISBN : 978-3-642-12465-5
Idioma : Inglés (eng)
Palabras clave: Mathematics Business Management science mathematics Finance Probabilities Statistics Probability Theory and Stochastic Processes Finance, general Statistical Methods for Business/Economics/Mathematical Finance/Insurance Management, Clasificación: 51 Matemáticas Resumen: 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 Nota de contenido: Surveys -- Copula Theory: An Introduction -- Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes -- Copula Estimation -- Pair-Copula Constructions of Multivariate Copulas -- Risk Aggregation -- Extreme-Value Copulas -- Construction and Sampling of Nested Archimedean Copulas -- Tail Behaviour of Copulas -- Copulae in Reliability Theory (Order Statistics, Coherent Systems) -- Copula-Based Measures of Multivariate Association -- Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing -- Contributed Papers -- A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets -- Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data -- Testing Under the Extended Koziol-Green Model -- Parameter Estimation and Application of the Multivariate Skew t-Copula -- On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas -- Relationships Between Archimedean Copulas and Morgenstern Utility Functions En línea: http://dx.doi.org/10.1007/978-3-642-12465-5 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=33759 Ejemplares
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Título : Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 Tipo de documento: documento electrónico Autores: SpringerLink (Online service) ; Piotr Jaworski ; Fabrizio Durante ; Wolfgang Karl Härdle Editorial: Berlin, Heidelberg : Springer Berlin Heidelberg Fecha de publicación: 2013 Otro editor: Imprint: Springer Colección: Lecture Notes in Statistics, ISSN 0930-0325 num. 213 Número de páginas: XII, 294 p. 38 illus., 24 illus. in color Il.: online resource ISBN/ISSN/DL: 978-3-642-35407-6 Idioma : Inglés (eng) Palabras clave: Statistics Economics, Mathematical Probabilities Macroeconomics for Business/Economics/Mathematical Finance/Insurance Quantitative Finance Probability Theory and Stochastic Processes Macroeconomics/Monetary Economics//Financial Economics Clasificación: 51 Matemáticas Resumen: 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 estimating 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. Nota de contenido: A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin En línea: http://dx.doi.org/10.1007/978-3-642-35407-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32562 Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 [documento electrónico] / SpringerLink (Online service) ; Piotr Jaworski ; Fabrizio Durante ; Wolfgang Karl Härdle . - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013 . - XII, 294 p. 38 illus., 24 illus. in color : online resource. - (Lecture Notes in Statistics, ISSN 0930-0325; 213) .
ISBN : 978-3-642-35407-6
Idioma : Inglés (eng)
Palabras clave: Statistics Economics, Mathematical Probabilities Macroeconomics for Business/Economics/Mathematical Finance/Insurance Quantitative Finance Probability Theory and Stochastic Processes Macroeconomics/Monetary Economics//Financial Economics Clasificación: 51 Matemáticas Resumen: 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 estimating 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. Nota de contenido: A Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin En línea: http://dx.doi.org/10.1007/978-3-642-35407-6 Link: https://biblioteca.cunef.edu/gestion/catalogo/index.php?lvl=notice_display&id=32562 Ejemplares
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