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Extreme value methods with applications to finance / / Serguei Y. Novak



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Autore: Novak Serguei Y. Visualizza persona
Titolo: Extreme value methods with applications to finance / / Serguei Y. Novak Visualizza cluster
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
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  Visualizza cluster
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.: 9910778817703321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: Monographs on statistics and applied probability ; ; 122.