Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 / Herausgegeben von Jaworski, Piotr/ Durante, Fabrizio/ Haerdle, Wolfgang Karl

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Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 （2013. 2013. 400 S. 20 SW-Abb., 10 Farbabb., 10 Tabellen. 235 mm）

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Copulae in Mathematical and Quantitative Finance : Proceedings of the Workshop Held in Cracow, 10-11 July 2012 （2013. 2013. 400 S. 20 SW-Abb., 10 Farbabb., 10 Tabellen. 235 mm）

Herausgegeben von Jaworski, Piotr/ Durante, Fabrizio/ Haerdle, Wolfgang Karl

SPRINGER, BERLIN; SPRINGER（2013発売）

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商品コード 9783642354069

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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. Historically, the Gaussian copula model has been one of the most common models in credit risk.