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Both mathematical and applied researchers in multivariate dependence concepts would benefit from reading this rigorous book, which is designed as graduate level textbook
Some notable features of the book include the construction of non-normal multivariate distributions, copulas Fréchet classes, unsolved problems, and exhaustive reference list, and [...]
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For most tracking applications the Kalman filter is reliable and efficient, but it is limited to a relatively restricted class of linear Gaussian problems. To solve problems beyond this restricted class, particle filters are proving to be dependable methods for stochastic dynamic estimation. Packed with [...]
Product DescriptionThe study of the statistics of extreme events is an essential first step in the mitigation of natural catastrophies, that often cause severe economic losses worldwide. This book is about the theoretical and practical aspects of the statistics of Extreme Events in Nature. Most importantly, this [...]
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The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a [...]
ReviewFrom the reviews: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION “…excellent, comprehensive treatise on the subject of extremal events modeling. The authors have responded well to the demands of extreme value practitioners for such a text. Although it was clearly and admittedly motivated by practical questions of [...]
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With the use of copulas becoming increasingly important in finance, Copulas provides a varied perspective of their usage within the field of financial risk management and derivative pricing. You are given examples of the most frequently used methods in both market and [...]
ReviewFrom reviews of the first edition: “The book starts … with five eye-catching pages that reproduce a student’s handwritten notes for the examination that is based on this book. … The material is well presented with a good balance between theoretical and applied aspects. … [...]
Review
Praise for the First Edition:”An excellent treatment of the mathematics underlying the pricing of derivatives.”- John Hull, University of Toronto, Canada”This book will be a major convenience to derivatives traders, risk managers, and other users and developers of derivatives models. It greatly reduces the cost of [...]
ReviewFrom the reviews: “The book presents recent developments in the field of correlated data analysis. Its aim is to give a systematic account of regression models and their application to the modelling and analysis of correlated data. … Various real-world data examples, numerical illustrations and [...]
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Copulas provide us with a tool for constructing multivariate distributions with arbitrary marginal distributions and a wide range of dependence structures. The aim of this book is to describe what the practitioner, or scientist, needs to know about copulas. Although the emphasis is on financial [...]
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