Super cena

Dependence Structures and Limiting Results - ARTHUR CHARPENTIER

Name: Dependence Structures and Limiting Results - ARTHUR CHARPENTIER
Brand: KS OmniScriptum Publishing
Availability: InStock

+ Dodaj do porównania Dodaj do listy zakupowej

Rozmiar

uniwersalny

612,75 zł

/ szt.

Najniższa cena z 30 dni przed obniżką: ~~580,67 zł~~ / szt.+5%

Cena regularna: ~~618,07 zł~~ / szt.-1%

Możesz kupić także poprzez:

Produkt dostępny

Darmowa i szybka dostawa od 199,00 zł

14 dni na łatwy zwrot

Bezpieczne zakupy

"Extreme, synchronized rises and falls in financial markets occur infrequently but they do occur. The problem with the models is that they did not assign a high enough chance of occurrence to the scenario in which many things go wrong at the same time - the 'em perfect storm' scenario" (Business Week, September 1998). This book focuses on limiting theorems for copulae. Because joint dependences of extremal events is nowadays is key issue in risk management, it becomes crucial to get a better understanding of behavior of copulas in tails. The first chapter presents a survey on copulae, and possible applications in risk management. The following chapters present some canonical theorems for copulae, and the link between this approach and standard results on multivariate extreme is explained. A concluding chapter presents a survey on graphical procedures to represent copula densities (with proper fit) in tails.

EAN: 9783836492447

Producent

KS OmniScriptum Publishing

Kod produktu

444GJD03527KS

Rok wydania

2008

Elementy

224

Oprawa

Miekka

Format

15.2x22.9cm