Copulae in mathematical and quantitative finance proceedings of the Workshop Held in Cracow, 10-11 July 2012 Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle, editors

Format:

Book

Conference/Event

Contributor:

Jaworski, Piotr (Andrzej Piotr)

Durante, Fabrizio

Härdle, Wolfgang

Conference Name:

Workshop "Copulae in Mathematical and Quantitative Finance" (2012 : Kraków, Poland) http://viaf.org/viaf/312859358

Series:

Lecture notes in statistics (Springer-Verlag) 213

Lecture notes in statistics 0930-0325 213

Language:

English

Subjects (All):

Copulas (Mathematical statistics)--Congresses.

Copulas (Mathematical statistics).

Mathematics.

mathematics.

applied mathematics.

Medical Subjects:

Mathematics.

Genre:

proceedings (reports)

Conference papers and proceedings

Physical Description:

1 online resource

Place of Publication:

Berlin New York Springer ©2013

System Details:

text file PDF

Summary:

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 bookincludes 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

Contents:

A Convolution-Based Autoregressive Process Umberto Cherubini, Fabio Gobbi Selection of Vine Copulas Claudia Czado, Eike Christian Brechmann Copulas in Machine Learning Gal Elidan An Overview of the Goodness-of-Fit Test Problem for Copulas Jean-David Fermanian Assessing and Modeling Asymmetry in Bivariate Continuous Data Christian Genest, Johanna G. Nešlehová Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series Nikolaus Hautsch, Ostap Okhrin The Limiting Properties of Copulas Under Univariate Conditioning Piotr Jaworski Singular Mixture Copulas Dominic Lauterbach, Dietmar Pfeifer Toward a Copula Theory for Multivariate Regular Variation Haijun Li CIID Frailty Models and Implied Copulas Jan-Frederik Mai, Matthias Scherer Copula-Based Models for Multivariate Discrete Response Data Aristidis K. Nikoloulopoulos Vector Generalized Linear Models: A Gaussian Copula Approach Peter X.-K. Song, Mingyao Li Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives Bertrand Tavin

Notes:

International conference proceedings

Includes index

Online resource; title from PDF title page (SpringerLink, viewed July 2, 2013)

Includes bibliographical references and index

Other Format:

Printed edition:

ISBN:

9783642354076

3642354076

3642354068

9783642354069

OCLC:

851442803

Access Restriction:

Restricted for use by site license