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Extreme events in finance : a handbook of extreme value theory and its applications / / edited by Francois Longin
| Extreme events in finance : a handbook of extreme value theory and its applications / / edited by Francois Longin |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2017 |
| Descrizione fisica | 1 online resource (638 p.) |
| Disciplina | 332.015195 |
| Collana |
Wiley Handbooks in Financial Engineering and Econometrics
THEi Wiley ebooks |
| Soggetto topico |
Finance - Mathematical models
Extreme value theory - Mathematical models |
| ISBN |
1-118-65020-4
1-118-65033-6 1-118-65031-X |
| Classificazione | BUS033070 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; About the Editor; About the Contributors; Chapter 1 Introduction; 1.1 Extremes; 1.2 History; 1.3 Extreme value theory; 1.4 Statistical estimation of extremes; 1.5 Applications in finance; 1.6 Practitioners' points of view; 1.7 A broader view on modeling extremes; 1.8 Final words; 1.9 Thank you note; References; Chapter 2 Extremes Under Dependence-Historical Development and Parallels with Central Limit Theory; 2.1 Introduction; 2.2 Classical (I.I.D.) central limit and extreme value theories; 2.3 Exceedances of levels, kth largest values
2.4 CLT and EVT for stationary sequences, bernstein's blocks and strong mixing2.5 Weak distributional mixing for EVT, D(un), extremal index; 2.6 Point process of level exceedances; 2.7 Continuous parameter extremes; References; Chapter 3 The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program; 3.1 The extreme value puzzle in financial modeling; 3.2 The sato classification and the two programs; 3.3 Mandelbrot's program: A fractal approach; 3.4 The Pragmatic Program: A data-driven approach; 3.5 Conclusion; Acknowledgments; References Chapter 4 Extreme Value Theory: An Introductory Overview4.1 Introduction; 4.2 Univariate case; 4.3 Multivariate case: Some highlights; Further reading; Acknowledgments; References; Chapter 5 Estimation of the Extreme Value Index; 5.1 Introduction; 5.2 The main limit theorem behind extreme value theory; 5.3 Characterizations of the max-domains of attraction and extreme value index estimators; 5.4 Consistency and asymptotic normality of the estimators; 5.5 Second-order reduced-bias estimation; 5.6 Case study; 5.7 Other topics and comments; References Chapter 6 Bootstrap Methods in Statistics of Extremes6.1 Introduction; 6.2 A few details on EVT; 6.3 The bootstrap methodology in statistics of univariate extremes; 6.4 Applications to simulated data; 6.5 Concluding remarks; Acknowledgments; References; Chapter 7 Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance; 7.1 Introduction; 7.2 On the (pseudo) regenerative approach for markovian data; 7.3 Preliminary results; 7.4 Regeneration-based statistical methods for extremal events; 7.5 The extremal index; 7.6 The regeneration-based hill estimator 7.7 Applications to ruin theory and financial time series7.8 An application to the CAC40; 7.9 Conclusion; References; Chapter 8 Lévy Processes and Extreme Value Theory; 8.1 Introduction; 8.2 Extreme value theory; 8.3 Infinite divisibility and Lévy processes; 8.4 Heavy-tailed Lévy processes; 8.5 Semi-heavy-tailed Lévy processes; 8.6 Lévy processes and extreme values; 8.7 Conclusion; References; Chapter 9 Statistics of Extremes: Challenges and Opportunities; 9.1 Introduction; 9.2 Statistics of bivariate extremes; 9.3 Models based on families of tilted measures; 9.4 Miscellanea; References Chapter 10 Measures of Financial Risk |
| Record Nr. | UNINA-9910166634503321 |
| Hoboken, New Jersey : , : Wiley, , 2017 | ||
| 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 |
| 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 | ||
| ||
Extreme value methods with applications to finance / / Serguei Y. Novak
| Extreme value methods with applications to finance / / Serguei Y. Novak |
| Autore | Novak Serguei Y |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Boca Raton, FL, : CRC Press, c2012 |
| 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-9910814917503321 |
|
Novak Serguei Y
|
||
| Boca Raton, FL, : CRC Press, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
