Extreme Value Methods with Applications to Finance

1st Edition

Serguei Y. Novak
eISBN-13: 9781439835753

eBook Features

  • Read your book anywhere, on any device, through RedShelf's cloud based eReader.
  • Built-in study tools include highlights, study guides, annotations, definitions, flashcards, and collaboration.
  • The publisher of this book allows a portion of the content to be used offline.
  • The publisher of this book allows a portion of the content to be printed.
  • The publisher of this book allows a portion of the content to be copied and pasted into external tools and documents.
Rent or Buy from $ 23.18
Note: We do not guarantee supplemental material with textbooks (e.g. CD's, Music, DVD's, Access Code, or Lab Manuals)

Additional Book Details

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. 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.

Sold By CRC Press
ISBNs 9781439835753, 9781439835746, 1439835748, 1439835756
Language English
Number of Pages 397
Edition 1st