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001			307311
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007			cr nn 008mamaa
008			150903s2013 gw | o |||| 0|eng d
020			_a9783642354076 _99783642354076
024	7		_a10.1007/9783642354076 _2doi
035			_avtls000360731
039		9	_a201509030629 _bVLOAD _c201405070304 _dVLOAD _y201402201438 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aQA276-280
100	1		_aJaworski, Piotr. _eeditor. _9339981
245	1	0	_aCopulae in Mathematical and Quantitative Finance : _bProceedings of the Workshop Held in Cracow, 10-11 July 2012 / _cedited by Piotr Jaworski, Fabrizio Durante, Wolfgang Karl Härdle.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013.
300			_axii, 294 páginas 38 ilustraciones, 24 ilustraciones en color. _brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aLecture Notes in Statistics, _x0930-0325 ; _v213
500			_aSpringer eBooks
505	0		_aA Convolution-based Autoregressive Process by Umberto Cherubini and Fabio Gobbi -- Selection of Vine Copulas by Claudia Czado, Eike Christian Brechmann and Lutz Gruber -- Copulas in Machine Learning by Gal Elidan -- An Overview of the Goodness-of-fit Test problem for Copulas by Jean-David Fermanian -- Assessing and Modeling Asymmetry in Bivariate Continuous data by Christian Genest and Johanna G. Nešehová -- Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series by Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig -- The Limiting Properties of Copulas under Univariate Conditioning by Piotr Jaworski -- Singular Mixture Copulas by Dominic Lauterbach and Dietmar Pfeifer -- Toward a Copula Theory for Multivariate Regular Variation by Haijun Li -- CIID Frailty Models and Implied Copulas by Jan-Frederik Mai, Matthias Scherer and Rudi Zagst -- Copula-based Models for Multivariate Discrete Response Data by Aristidis K. Nikoloulopoulos -- Vector Generalized Linear Models: A Gaussian Copula Approach by Peter X -- K. Song, Mingyao Li and Peng Zhang -- APPENDIX A: Gaussian-Hermite Quadrature -- APPENDIX B: AREs of GEE and VGLM for binary -- Application of Bernstein Copulas to the Pricing of Multi-asset Derivatives by Bertrand Tavin.
520			_aCopulas 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.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aDurante, Fabrizio. _eeditor. _9339982
700	1		_aHärdle, Wolfgang Karl. _eeditor. _9338203
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783642354069
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-642-35407-6 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c307311 _d307311