Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications

摘要

Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry, and scientists. The concept of copula was introduced by Abe Sklar in 1959 as a tool for linking a multivariate probability distribution function with its univariate marginals. In the last decades, this concept has gained a large popularity in the mathematical and statistical community because of its various applications in diverse fields, especially in economics and finance. The book by Mai and Scherer provides an excellent overview about copulas. After recalling fundamental aspects about copulas and related measures of association, it presents an up-to-date treatment of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as different construction principles (factor models, pair-copula construction, etc.).