This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models, pair-copula construction, etc.). The book is self-contained and unified in presentation and can be used as a textbook for advanced undergraduate or graduate students with a firm background in stochastics. Alongside the theoretical foundation, ready-to-implement algorithms and many examples make this book a valuable tool for anyone who is applying the methodology.Errata(s)Errata (128 KB)Sample Chapter(s)Chapter 1: Introduction (1, 016 KB)Chapter 4: Elliptical Copulas (857 KB)Contents:Introduction Archimedean Copulas Marshall–Olkin Copulas Elliptical Copulas Pair Copula Constructions Sampling Univariate Random Variables The Monte Carlo Method Readership: Advanced undergraduate and graduate students in probability calculus and stochastics, practitioners who implement models in the financial industry and scientists.
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