Sampling nested Archimedean copulas with applications to CDO pricing [Elektronische Ressource] / Jan Marius Hofert

Ulm UniversityInstitute of Number Theoryand Probability TheoryHelmholtzstraße 1889081 UlmDissertationSampling Nested Archimedean Copulaswith Applications to CDO PricingSubmitted for the degree of Dr. rer. nat. in the Faculty ofMathematics and Economics at Ulm UniversityJan Marius HofertJanuary 2010Acting dean: Prof. Dr. Werner KratzFirst advisor: Prof. Dr. Ulrich StadtmüllerSecond Prof. Dr. Rüdiger KieselDate of defense: 2010-02-26I hereby declare that this dissertation was performed and written on my own and thatreferences and resources used within this work have been explicitly indicated. I am awarethat making a false declaration may have serious consequences.Ulm, January 2010 Jan Marius HofertTo the most important dependence in life,Love.PrefaceThis dissertation is based on the results I developed during my time at the Institute ofApplied Analysis and the Institute of Number Theory and Probability Theory at UlmUniversity. Ulm has always been a home to me and so this preface is dedicated to allpeople creating this friendly and pleasant atmosphere I have enjoyed since I came to thisvivid place.First of all, I would like to express my deepest gratitude to Prof. Dr. Ulrich Stadtmüllerfor introducing me to the fascinating world of copulas. I am fortunate to have an excellentadvisor who gives me the freedom to explore on my own but at the same time the supportto recover from setbacks.