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Information Security Applications: 13th International Workshop, Wisa 2012, Jeju Island, Korea, August 16-18, 2012, Revised Selected Papers by Dong Hoon Lee, Moti Young - Paperback
350.70 AED

Information Security Applications: 13th International Workshop, Wisa 2012, Jeju Island, Korea, August 16-18, 2012, Revised Selected Papers by Dong Hoon Lee, Moti Young - Paperback

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Category Type
Information Technology
ISBN
9783642354151
Author
Dong Hoon Lee, Moti Young
Publisher
Springer
Description:

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 ...

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PRODUCT INFORMATION

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    Specifications

    Category Type
    Information Technology
    ISBN
    9783642354151
    Languages
    English
    Item EAN
    2724437235962
    People
    Author
    Dong Hoon Lee, Moti Young
    Category Type
    Information Technology
    ISBN
    9783642354151
    Languages
    English
    Item EAN
    2724437235962
    People
    Author
    Dong Hoon Lee, Moti Young
    People
    Publisher
    Springer
    Technical Information
    Binding
    Paperback
    Languages and countries
    Book Language
    English
    Read more
  •  

    Description:

    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

    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.

    Product Features:
    • Category: Mathematics
    • Binding: Paperback
    • Language of Text: English
    • Author(s): Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Hardle
    • Publisher: Springer
    • ISBN: 9783642354069
    • Number of Pages: 294
    • Dimensions: 9 x 6 x 0.9 inches
 

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