Extreme value methods with applications to finance.

Novak, Serguei (2011) Extreme value methods with applications to finance. Monographs on Statistics & Applied Probability . CRC Press, Chapman & Hall. ISBN 9781439835746

[img]
Preview
PDF - Other
145kB

Abstract

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 nonparametric estimation methods. These topics have not been fully focused on in other books on extremes. Along with examples from finance and insurance to illustrate the methods, 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. A systematic background to a rapidly growing branch of modern Probability and Statistics: extreme value theory for stationary sequences of random variables.

Item Type:Book
Research Areas:School of Science and Technology > Design Engineering and Mathematics
ID Code:8262
Useful Links:
Deposited On:13 Dec 2011 06:53
Last Modified:13 May 2014 15:47

Repository staff and depositor only: item control page

Full text downloads (NB count will be zero if no full text documents are attached to the record)

Downloads per month over the past year