Long-Range Dependence and Self-Similarity, Pipiras

Автор: Malevergne Yannick, Sornette Didier
Название: Extreme Financial Risks / From Dependence to Risk Management
ISBN: 354027264X ISBN-13(EAN): 9783540272649
Издательство: Springer
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Цена: 9781.00 р.
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Описание: Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.Extreme Financial Risks will be useful to: students looking for a general and in-depth introduction to the field; financial engineers, economists, econometricians, actuarial professionals; researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; andquantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence. In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.

Автор: Kurowicka Dorota Et Al
Название: Dependence Modeling: Vine Copula Handbook
ISBN: 9814299871 ISBN-13(EAN): 9789814299879
Издательство: World Scientific Publishing
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Цена: 20592.00 р.
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Описание: Research and applications in vines have been growing rapidly. This book traces historical developments, standardizing notation and terminology. It summarizes results on bivariate copulae and results for regular vines. It gives an overview of its applications.

Автор: J?rome Dedecker; Paul Doukhan; Gabriel Lang; Jos?
Название: Weak Dependence: With Examples and Applications
ISBN: 0387699511 ISBN-13(EAN): 9780387699516
Издательство: Springer
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Цена: 18167.00 р.
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Описание: Develops Doukhan/Louhichi`s 1999 idea to measure asymptotic independence of a random process.