Copula Theory and Its Applications
- Piotr Jaworski
- Fabrizio Durante
- Wolfgang Karl Härdle
- Tomasz Rychlik
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Know about the book -
Copula Theory and Its Applications is written by Piotr Jaworski and published by Springer Science & Business Media. It's available with International Standard Book Number or ISBN identification 3642124658 (ISBN 10) and 9783642124655 (ISBN 13).
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 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.
