Extreme value methods with applications to finance.

Book

Novak, S. 2011. Extreme value methods with applications to finance. CRC Press, Chapman & Hall.
TitleExtreme value methods with applications to finance.
AuthorsNovak, S.
Abstract

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 approximation, and nonparametric estimation methods. These topics have not been fully focused on in other books on extremes.
Along with examples from finance and insurance to illustrate the methods, Extreme Value Methods with Applications to Finance includes over 200 exercises, making it useful as a reference book, self-study tool, or comprehensive course text.
A systematic background to a rapidly growing branch of modern Probability and Statistics: extreme value theory for stationary sequences of random variables.

SeriesMonographs on Statistics & Applied Probability
ISBN
Hardcover9781439835746
PublisherCRC Press, Chapman & Hall
Publication dates
PrintDec 2011
Publication process dates
Deposited13 Dec 2011
Output statusPublished
LanguageEnglish
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