Extreme Value Methods with Applications to Finance
Crc Press Inc (Verlag)
978-1-4398-3574-6 (ISBN)
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. In addition, the book covers:
Extremes in samples of random size
Methods of estimating extreme quantiles and tail probabilities
Self-normalized sums of random variables
Measures of market risk
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.
Dr S.Y. Novak earned his Ph.D. at the Novosibirsk Institute of Mathematics under the supervision of Dr S.A. Utev in 1988. The Novosibirsk group forms a part of Russian tradition in Probability & Statistics that extends its roots to Kolmogorov and Markov. Dr S.Y. Novak began his teaching carrier at the Novosibirsk Electrotechnical Institute (NETI) and Novosibirsk Institute of Geodesy, held post-doctoral positions at the University of Sussex and Eurandom (Technical University of Eindhoven), and taught at Brunel University in West London, before joining the Middlesex University (London) in 2003. He published over 40 papers, mostly on the topic of Extreme Value Theory, in which he is considered an expert.
Methods of Extreme Value Theory. Maximum of Partial Sums. Extremes in Samples of Random Size. Poisson Approximation. Compound Poisson Approximation. Exceedances of Several Levels. Process of Exceedances. Beyond Compound Poisson. Inference on Heavy Tails. Value-at-Risk. Extremal Index. Normal Approximation. Lower Bounds. Appendix. Abbreviations. Bibliography. Index.
Erscheint lt. Verlag | 6.1.2012 |
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Reihe/Serie | Chapman & Hall/CRC Monographs on Statistics and Applied Probability |
Zusatzinfo | 2 Tables, black and white; 72 Illustrations, black and white |
Verlagsort | Bosa Roca |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 680 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
ISBN-10 | 1-4398-3574-8 / 1439835748 |
ISBN-13 | 978-1-4398-3574-6 / 9781439835746 |
Zustand | Neuware |
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