Abstract It is standard in quantitative risk management to model a random vector ${\mathbf {X}:=\lbrace X_{t_k}\rbrace _{k=1,\ldots ,d}}$ of consecutive log-returns to ultimately analyze the probability law of the accumulated return ${X_{t_1}+\cdots +X_{t_d}}$ . By the Markov regression...

This tome provides the reader with a background on simulating copulas and multivariate distribution in general. It unifies the scattered literature on the simulation of various families of copulas as well as on different construction principles