Umfang:
1 online resource (397 pages)
Ausgabe:
1st ed.
ISBN:
9781439835746
,
9781439835753
Inhalt:
Extreme value theory (EVT) provides tools for assessing risk of highly unusual developments, such as financial market crashes. This book presents a synthesis of recent research, with emphasis on dependent observations. It concentrates on modern topics, such as compound Poisson approximation, processes of exceedances, and nonparametric estimation methods, which have not been focused on in other books on extremes. Along with examples from finance and insurance that illustrate the methods, the book includes over 200 exercises, making it useful as a reference book, self-study tool, or comprehensive course text
Anmerkung:
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
Weitere Ausg.:
Print version Novak, Serguei Y. Extreme Value Methods with Applications to Finance Milton : Taylor & Francis Group,c2011 ISBN 9781439835746
Sprache:
Englisch
Schlagwort(e):
Electronic books
URL:
FULL
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