Extreme value methods with applications to finance / / Serguei Y. Novak
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| Autore: |
Novak Serguei Y.
|
| Titolo: |
Extreme value methods with applications to finance / / Serguei Y. Novak
|
| Pubblicazione: | Boca Raton, Fla. : , : CRC Press, , 2012 |
| Descrizione fisica: | 1 online resource (397 p.) |
| Disciplina: | 332.01/5195 |
| Soggetto topico: | Finance - Mathematical models |
| Financial risk - Mathematical models | |
| Extreme value theory - Mathematical models | |
| Soggetto genere / forma: | Electronic books. |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | 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 |
| Sommario/riassunto: | 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 ap |
| Titolo autorizzato: | Extreme value methods with applications to finance |
| ISBN: | 0-429-09383-7 |
| 1-280-12191-2 | |
| 9786613525772 | |
| 1-4398-3575-6 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910457269803321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Monographs on statistics and applied probability ; ; 122.