Extreme Value Methods With Applications To Finance (chapman & Hall/crc Monographs On Statistics & Applied Probability)
by Serguei Y. Novak /
2011 / English / PDF
4 MB Download
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 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
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 nonparametric estimation methods.
These topics have not been fully focused on in other books on
extremes. In addition, the book covers:
concentrates on modern topics in EVT, such as
processes of exceedances, compound Poisson approximation, Poisson
cluster approximation, and nonparametric estimation methods.
These topics have not been fully focused on in other books on
extremes. In addition, the book covers:Extremes in samples of random size
Extremes in samples of random sizeMethods of estimating extreme quantiles and tail
probabilities
Methods of estimating extreme quantiles and tail
probabilitiesSelf-normalized sums of random variables
Self-normalized sums of random variablesMeasures of market risk
Measures of market risk
Along with examples from finance and insurance to illustrate the
methods,
Along with examples from finance and insurance to illustrate the
methods,Extreme Value Methods with Applications to
Financ
Extreme Value Methods with Applications to
Finance includes over 200 exercises, making it useful as
a reference book, self-study tool, or comprehensive course text.
e includes over 200 exercises, making it useful as
a reference book, self-study tool, or comprehensive course text.A systematic background to a rapidly growing branch of modern
Probability and Statistics: extreme value theory for stationary
sequences of random variables.
A systematic background to a rapidly growing branch of modern
Probability and Statistics: extreme value theory for stationary
sequences of random variables.
