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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 | ||
| ||
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 | ||
| ||