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Record Nr. |
UNINA9910965056303321 |
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Autore |
Novak Serguei Y |
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Titolo |
Extreme value methods with applications to finance / / Serguei Y. Novak |
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Pubbl/distr/stampa |
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Boca Raton, FL, : CRC Press, c2012 |
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ISBN |
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9786613525772 |
9781040195581 |
104019558X |
9780429093838 |
0429093837 |
9781280121913 |
1280121912 |
9781439835753 |
1439835756 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (397 p.) |
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Collana |
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Monographs on statistics and applied probability ; ; 122 |
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Disciplina |
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Soggetti |
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Finance - Mathematical models |
Financial risk - Mathematical models |
Extreme value theory - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Front Cover; Detication; Contents; Preface; Introduction; List of Conventions; List of Abbreviations; Author; Part I: Distribution of Extremes; 1. Methods of Extreme Value Theory; 2. Maximum of Partial Sums; 3. Extremes in Samples of Random Size; 4. Poisson Approximation; 5. Compound Poisson Approximation; 6. Exceedances of Several Levels; 7. Processes of Exceedances; 8. Beyond Compound Poisson; Part II: Statistics of Extremes; 9. Inference on Heavy Tails; 10. Value-at-Risk; 11. Extremal Index; 12. Normal Approximation; 13. Lower Bounds; 14. Appendix; References |
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Sommario/riassunto |
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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 |
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