Extreme Value Methods with Applications to Finance (Chapman & Hall/CRC Monographs on Statistics and Applied Probability) - Hardcover

Book 38 of 110: ISSN

Novak, Serguei Y.

 
9781439835746: Extreme Value Methods with Applications to Finance (Chapman & Hall/CRC Monographs on Statistics and Applied Probability)
Hardcover
ISBN 10: 1439835748 ISBN 13: 9781439835746
Publisher: CRC Press, 2011

Synopsis

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.

"synopsis" may belong to another edition of this title.

About the Author

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.

"About this title" may belong to another edition of this title.

Publisher
CRC Press
Publication date
2011
Language
English
ISBN 10 
1439835748
ISBN 13 
9781439835746
Binding
Hardcover
Edition number
1
Number of pages
400