Extreme value methods with applications to finance

Extreme value methods with applications to finance

by Novak, Serguei Y.

Type Book
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Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers--in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as p…

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Title Statements

  • Full title :Extreme value methods with applications to finance / Serguei Y. Novak.

Summary

Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers--in other words, to correct reality if it does not fit the model. Recognizing that any model is only an approximation of reality, statisticians are eager to extract information about unknown distribution making as few assumptions as possible. Extreme Value Methods with Applications to Finance concentrates on modern topics in EVT, such as processes of exceedances, compound Poisson approximation, Poisson cluster approximation, and nonparame.

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Edition Statements

  • Publication Date:©2012.

Publication Statements

  • Publisher(s):CRC Press
  • Place of Publication:Boca Raton, FL
  • Language:eng
  • Publication Date:©2012.

The Physical Object

  • Description:1 online resource (xxv, 373 pages) : : illustrations

Edition Identifiers

  • ISBN:1439835756, 9781439835753, 1280121912, 9781280121913, 0429093837, 9780429093838, 9786613525772, 6613525774
  • DOI:10.1201/b11537
  • oclc:ocn774956310
  • LC Classification:HG106
  • Dewey Decimal:332.01/5195

Table of Contents

pt. 1. Distribution of extremes -- pt. 2. Statistics of extremes.

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Subjects

Business & Economics -- Finance Economics Économie politique Extreme value theory -- Mathematical mo… Finance -- mathematical models Finances -- Modèles mathématiques Financial risk -- Mathematical models mathematical models Modèles mathématiques Models, Theoretical Risque financier -- Modèles mathématiqu… Théorie des valeurs extrêmes -- Modèles…

Writers

Novak, Serguei Y.

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