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Extreme Value Methods with Applications to Finance
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eBook
Extreme Value Methods with Applications to Finance
2012,2011
Overview
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.
Publisher
CRC Press,CRC Press, Taylor & Francis Group,Taylor & Francis Group
Subject
ISBN
1439835748, 9781439835746
