Sampling Nested Archimedean Copulas

Name: Sampling Nested Archimedean Copulas
Brand: Sudwestdeutscher Verlag Fur Hochschulschriften AG
SKU: 9783838116563
Price: 383.67 RON
Availability: InStock

with Applications to CDO Pricing

Autor: Jan Marius Hofert

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Editura: Sudwestdeutscher Verlag Fur Hochschulschriften AG

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Copulas are distribution functions with standard uniform univariate margins. A famous class of copul...

Informații despre carte

Autor

Jan Marius Hofert

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2010

Pagini

200

EAN

9783838116563

ISBN

3838116569

Enbook ID

06961799

Editura

Sudwestdeutscher Verlag Fur Hochschulschriften AG

Greutate

322

Dimensiuni

153 x 229 x 13

Descriere completă

Copulas are distribution functions with standard uniform univariate margins. A famous class of copulas consists of Archimedean copulas, which are constructed by a one-dimensional function called the generator of the Archimedean copula. In large-dimensional applications the symmetry of Archimedean copulas is often considered to be a drawback. By nesting Archimedean copulas at different levels, one obtains the more general and flexible class of nested Archimedean copulas. The present work explores these copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. From the practitioner's point of view, fast sampling algorithms are required for large-scale simulation studies. Efficiently sampling nested Archimedean copulas requires sampling from certain distributions which are related to the generators of the Archimedean copulas involved via Laplace-Stieltjes transforms. The work at hand presents efficient strategies for sampling these distributions. As an application, a pricing model for collateralized debt obligations is developed which precisely captures the given hierarchical structure of such a credit-risky portfolio.

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Sampling Nested Archimedean Copulas

with Applications to CDO Pricing

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Descriere completă

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