Customer Reviews

An Introduction to Copulas (Springer Series in Statistics)

5 star:		(3)
4 star:		(0)
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1 star:		(1)

 

 

This is a great introduction to the area for those already possessing good mathematical ability and knowledge of distribution theory. All the seminal theorems and references are in here and the reader would be wise to check them out. Well written and communicated, didn't find any typo's. Enjoyed it. This area is fast growing in the area of mathematical finance.

This is the second edition of THE book on copulas; there are others, eg Joe, and Drouet and Kotz, but this is the best reference work I know of on this topic. The second edition does not frankly have a huge amount of new content; the most obvious is the very useful set of scatterplots used to illustrate the appearance of copulas. This I think shows up some properties like symmetry better than equations could do. If I had purchased the first edition, I probably wouldn't feel it had been worth upgrading---it depends on how deeply you are `into' this topic. On the other hand it's reassuring that there hasn't been a lot of recent work we didn't know about!

I thoroughly recommend this book, and, if I meet the author, I shall reckon that he owes me a drink.

This may be good as a mathematical treatise, but as a practitioner, I did not find it at all helpful.

I just got this book, so I can't comment on the contents yet. However, I feel quite ripped off, because this is the previous edition. The hardcover, which is only $20 more is a new second edition, while the paperback is from 1999.