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Biblioteca

MARC Lista (tabellare)
Extreme value methods with applications to finance / / Serguei Y. Novak
Extreme value methods with applications to finance / / Serguei Y. Novak
Autore Novak Serguei Y.
Pubbl/distr/stampa Boca Raton, Fla. : , : CRC Press, , 2012
Descrizione fisica 1 online resource (397 p.)
Disciplina 332.01/5195
Collana Monographs on statistics and applied probability
Soggetto topico Finance - Mathematical models
Financial risk - Mathematical models
Extreme value theory - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 0-429-09383-7
1-280-12191-2
9786613525772
1-4398-3575-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
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
Record Nr. UNINA-9910457269803321
Novak Serguei Y.  
Boca Raton, Fla. : , : CRC Press, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Extreme value methods with applications to finance / / Serguei Y. Novak
Extreme value methods with applications to finance / / Serguei Y. Novak
Autore Novak Serguei Y.
Pubbl/distr/stampa Boca Raton, Fla. : , : CRC Press, , 2012
Descrizione fisica 1 online resource (397 p.)
Disciplina 332.01/5195
Collana Monographs on statistics and applied probability
Soggetto topico Finance - Mathematical models
Financial risk - Mathematical models
Extreme value theory - Mathematical models
ISBN 0-429-09383-7
1-280-12191-2
9786613525772
1-4398-3575-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
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
Record Nr. UNINA-9910778817703321
Novak Serguei Y.  
Boca Raton, Fla. : , : CRC Press, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui