Copula Theory and Its Applications Proceedings of the Workshop Held
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
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Piotr Jaworski · Fabrizio Durante · Wolfgang H¨ardle · Tomasz Rychlik Editors
Copula Theory and Its Applications Proceedings of the Workshop Held in Warsaw, 25–26 September 2009
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Editors Piotr Jaworski University of Warsaw Faculty of Mathematics Informatics and Mechanics ul. Banacha 2 02097 Warszawa Poland [email protected] Wolfgang H¨ardle Humboldt-Universit¨at zu Berlin CASE – Center for Applied Statistics and Economics Unter den Linden 6 10099 Berlin Germany [email protected]
Fabrizio Durante Free University of Bozen-Bolzano School of Economics and Management Piazza Universit`a 1 39100 Bolzano Italy [email protected]
Tomasz Rychlik Polish Academy of Sciences Institute of Mathematics ul. Chopina 12 87100 Toru´n Poland [email protected]
ISSN 0930-0325 ISBN 978-3-642-12464-8 e-ISBN 978-3-642-12465-5 DOI 10.1007/978-3-642-12465-5 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2010928666 c Springer-Verlag Berlin Heidelberg 2010 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: Integra Software Services Pvt. Ltd., Pondicherry Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Foreword
The workshop on “Copula Theory and Its Applications” took place at the Faculty of Mathematics, Informatics, and Mechanics at the University of Warsaw (Poland), in the period of 25th–26th September 2009. It gathered 72 participants from 18 countries, inside and outside Europe. Inspired by the nice atmosphere of an old and prestigious city in Central Europe, all the participants have been actively involved in interesting discussions and stimulating talks concerning copula theory and its applications. The workshop was preceded by a short course on “Joint Extremes, Copulae and CDO Valuation” organized by Prof. Wolfgang Härdle from Humboldt University of Berlin (Germany), which was particularly devoted to present some challenging ideas concerning applications of copulas in finance. As members of the Organizing Committee of the workshop, it is a great pleasure for us to present this volume collecting results and achievements discussed by the participants. It is anot
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