Download or read book Copulae in Mathematical and Quantitative Finance written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2013-06-18 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Financial Engineering with Copulas Explained written by J. Mai and published by Springer. This book was released on 2014-10-02 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.

Download or read book Copulae in Mathematical and Quantitative Finance written by Piotr Jaworski and published by Springer. This book was released on 2013-06-20 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Introduction to Bayesian Estimation and Copula Models of Dependence written by Arkady Shemyakin and published by John Wiley & Sons. This book was released on 2017-03-20 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents an introduction to Bayesian statistics, presents an emphasis on Bayesian methods (prior and posterior), Bayes estimation, prediction, MCMC,Bayesian regression, and Bayesian analysis of statistical modelsof dependence, and features a focus on copulas for risk management Introduction to Bayesian Estimation and Copula Models of Dependence emphasizes the applications of Bayesian analysis to copula modeling and equips readers with the tools needed to implement the procedures of Bayesian estimation in copula models of dependence. This book is structured in two parts: the first four chapters serve as a general introduction to Bayesian statistics with a clear emphasis on parametric estimation and the following four chapters stress statistical models of dependence with a focus of copulas. A review of the main concepts is discussed along with the basics of Bayesian statistics including prior information and experimental data, prior and posterior distributions, with an emphasis on Bayesian parametric estimation. The basic mathematical background of both Markov chains and Monte Carlo integration and simulation is also provided. The authors discuss statistical models of dependence with a focus on copulas and present a brief survey of pre-copula dependence models. The main definitions and notations of copula models are summarized followed by discussions of real-world cases that address particular risk management problems. In addition, this book includes: • Practical examples of copulas in use including within the Basel Accord II documents that regulate the world banking system as well as examples of Bayesian methods within current FDA recommendations • Step-by-step procedures of multivariate data analysis and copula modeling, allowing readers to gain insight for their own applied research and studies • Separate reference lists within each chapter and end-of-the-chapter exercises within Chapters 2 through 8 • A companion website containing appendices: data files and demo files in Microsoft® Office Excel®, basic code in R, and selected exercise solutions Introduction to Bayesian Estimation and Copula Models of Dependence is a reference and resource for statisticians who need to learn formal Bayesian analysis as well as professionals within analytical and risk management departments of banks and insurance companies who are involved in quantitative analysis and forecasting. This book can also be used as a textbook for upper-undergraduate and graduate-level courses in Bayesian statistics and analysis. ARKADY SHEMYAKIN, PhD, is Professor in the Department of Mathematics and Director of the Statistics Program at the University of St. Thomas. A member of the American Statistical Association and the International Society for Bayesian Analysis, Dr. Shemyakin's research interests include informationtheory, Bayesian methods of parametric estimation, and copula models in actuarial mathematics, finance, and engineering. ALEXANDER KNIAZEV, PhD, is Associate Professor and Head of the Department of Mathematics at Astrakhan State University in Russia. Dr. Kniazev's research interests include representation theory of Lie algebras and finite groups, mathematical statistics, econometrics, and financial mathematics.

Download or read book Dependence Modeling with Copulas written by Harry Joe and published by CRC Press. This book was released on 2014-06-26 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dependence Modeling with Copulas covers the substantial advances that have taken place in the field during the last 15 years, including vine copula modeling of high-dimensional data. Vine copula models are constructed from a sequence of bivariate copulas. The book develops generalizations of vine copula models, including common and structured factor models that extend from the Gaussian assumption to copulas. It also discusses other multivariate constructions and parametric copula families that have different tail properties and presents extensive material on dependence and tail properties to assist in copula model selection. The author shows how numerical methods and algorithms for inference and simulation are important in high-dimensional copula applications. He presents the algorithms as pseudocode, illustrating their implementation for high-dimensional copula models. He also incorporates results to determine dependence and tail properties of multivariate distributions for future constructions of copula models.

Download or read book Mathematical Statistics and Limit Theorems written by Marc Hallin and published by Springer. This book was released on 2015-04-07 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift in honour of Paul Deheuvels’ 65th birthday compiles recent research results in the area between mathematical statistics and probability theory with a special emphasis on limit theorems. The book brings together contributions from invited international experts to provide an up-to-date survey of the field. Written in textbook style, this collection of original material addresses researchers, PhD and advanced Master students with a solid grasp of mathematical statistics and probability theory.

Download or read book An Introduction to Copulas written by Roger B. Nelsen and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are functions that join multivariate distribution functions to their one-dimensional margins. The study of copulas and their role in statistics is a new but vigorously growing field. In this book the student or practitioner of statistics and probability will find discussions of the fundamental properties of copulas and some of their primary applications. The applications include the study of dependence and measures of association, and the construction of families of bivariate distributions. With nearly a hundred examples and over 150 exercises, this book is suitable as a text or for self-study. The only prerequisite is an upper level undergraduate course in probability and mathematical statistics, although some familiarity with nonparametric statistics would be useful. Knowledge of measure-theoretic probability is not required. Roger B. Nelsen is Professor of Mathematics at Lewis & Clark College in Portland, Oregon. He is also the author of "Proofs Without Words: Exercises in Visual Thinking," published by the Mathematical Association of America.

Download or read book Copulas and Dependence Models with Applications written by Manuel Úbeda Flores and published by Springer. This book was released on 2017-10-13 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.

Download or read book Elements of Copula Modeling with R written by Marius Hofert and published by Springer. This book was released on 2019-01-09 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the main theoretical findings related to copulas and shows how statistical modeling of multivariate continuous distributions using copulas can be carried out in the R statistical environment with the package copula (among others). Copulas are multivariate distribution functions with standard uniform univariate margins. They are increasingly applied to modeling dependence among random variables in fields such as risk management, actuarial science, insurance, finance, engineering, hydrology, climatology, and meteorology, to name a few. In the spirit of the Use R! series, each chapter combines key theoretical definitions or results with illustrations in R. Aimed at statisticians, actuaries, risk managers, engineers and environmental scientists wanting to learn about the theory and practice of copula modeling using R without an overwhelming amount of mathematics, the book can also be used for teaching a course on copula modeling.

Download or read book Principles of Copula Theory written by Fabrizio Durante and published by CRC Press. This book was released on 2015-07-01 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives readers the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real analysis, measure theory, and algebraic structures. The authors prove the results as simply as possible and unify various methods scattered throughout the literature in common frameworks, including shuffles of copulas. They also explore connections with related functions, such as quasi-copulas, semi-copulas, and triangular norms, that have been used in different domains.

Download or read book Soft Methods for Data Science written by Maria Brigida Ferraro and published by Springer. This book was released on 2016-08-30 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume is a collection of peer reviewed papers presented at the 8th International Conference on Soft Methods in Probability and Statistics (SMPS 2016) held in Rome (Italy). The book is dedicated to Data science which aims at developing automated methods to analyze massive amounts of data and to extract knowledge from them. It shows how Data science employs various programming techniques and methods of data wrangling, data visualization, machine learning, probability and statistics. The soft methods proposed in this volume represent a collection of tools in these fields that can also be useful for data science.

Download or read book Fuzzy Logic and Information Fusion written by Tomasa Calvo Sánchez and published by Springer. This book was released on 2016-05-10 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a timely report on key theories and applications of soft-computing. Written in honour of Professor Gaspar Mayor on his 70th birthday, it primarily focuses on areas related to his research, including fuzzy binary operators, aggregation functions, multi-distances, and fuzzy consensus/decision models. It also discusses a number of interesting applications such as the implementation of fuzzy mathematical morphology based on Mayor-Torrens t-norms. Importantly, the different chapters, authored by leading experts, present novel results and offer new perspectives on different aspects of Mayor’s research. The book also includes an overview of evolutionary fuzzy systems, a topic that is not one of Mayor’s main areas of interest, and a final chapter written by the Spanish pioneer in fuzzy logic, Professor E. Trillas. Computer and decision scientists, knowledge engineers and mathematicians alike will find here an authoritative overview of key soft-computing concepts and techniques.

Download or read book Copulae and Multivariate Probability Distributions in Finance written by Alexandra Dias and published by Routledge. This book was released on 2013-08-21 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.

Download or read book Extreme Value Modeling and Risk Analysis written by Dipak K. Dey and published by CRC Press. This book was released on 2016-01-06 with total page 538 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje

Download or read book Topics in Statistical Simulation written by V.B. Melas and published by Springer. This book was released on 2014-12-05 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Department of Statistical Sciences of the University of Bologna in collaboration with the Department of Management and Engineering of the University of Padova, the Department of Statistical Modelling of Saint Petersburg State University, and INFORMS Simulation Society sponsored the Seventh Workshop on Simulation. This international conference was devoted to statistical techniques in stochastic simulation, data collection, analysis of scientific experiments, and studies representing broad areas of interest. The previous workshops took place in St. Petersburg, Russia in 1994, 1996, 1998, 2001, 2005, and 2009. The Seventh Workshop took place in the Rimini Campus of the University of Bologna, which is in Rimini’s historical center.

Download or read book Advances in Knowledge Discovery and Data Mining written by Dinh Phung and published by Springer. This book was released on 2018-06-18 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This three-volume set, LNAI 10937, 10938, and 10939, constitutes the thoroughly refereed proceedings of the 22nd Pacific-Asia Conference on Advances in Knowledge Discovery and Data Mining, PAKDD 2018, held in Melbourne, VIC, Australia, in June 2018. The 164 full papers were carefully reviewed and selected from 592 submissions. The volumes present papers focusing on new ideas, original research results and practical development experiences from all KDD related areas, including data mining, data warehousing, machine learning, artificial intelligence, databases, statistics, knowledge engineering, visualization, decision-making systems and the emerging applications.

Download or read book New Perspectives and Paradigms in Applied Economics and Business written by William C. Gartner and published by Springer Nature. This book was released on with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: