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Extreme value methods with applicati...

Novak, Serguei Y.

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Extreme value methods with applications to finance

Record Type:	Electronic resources : Monograph/item
Title/Author:	Extreme value methods with applications to finance/ Serguei Y. Novak.
Author:	Novak, Serguei Y.
Published:	Boca Raton, FL :CRC Press, : ©2011.,
Description:	1 online resource (xxv, 373 p.) :ill.
[NT 15003449]:	pt. 1. Distribution of extremes -- pt. 2. Statistics of extremes.
Subject:	Finance - Mathematical models. -
Online resource:	http://www.crcnetbase.com/doi/book/10.1201/b11537
ISBN:	1439835756 (electronic bk.)

Extreme value methods with applications to finance
Novak, Serguei Y.

Extreme value methods with applications to finance[electronic resource] /Serguei Y. Novak. - Boca Raton, FL :CRC Press,©2011. - 1 online resource (xxv, 373 p.) :ill. - Monographs on statistics and applied probability ;122. - Monographs on statistics and applied probability (Series) ;128. .

Includes bibliographical references and index.

pt. 1. Distribution of extremes -- pt. 2. Statistics of extremes.

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 nonparame.

ISBN: 1439835756 (electronic bk.)Subjects--Topical Terms:

578740
Finance
--Mathematical models.

LC Class. No.: HG106 / .N66 2011

Dewey Class. No.: 332.01/5195

Extreme value methods with applications to finance
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050 4 $a HG106 $b .N66 2011
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100 1 $a Novak, Serguei Y. $3 2089996
245 1 0 $a Extreme value methods with applications to finance $h [electronic resource] / $c Serguei Y. Novak.
260 $a Boca Raton, FL : $b CRC Press, $c ©2011.
300 $a 1 online resource (xxv, 373 p.) : $b ill.
490 1 $a Monographs on statistics and applied probability ; $v 122
504 $a Includes bibliographical references and index.
505 0 $a pt. 1. Distribution of extremes -- pt. 2. Statistics of extremes.
520 $a 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 nonparame.
650 0 $a Finance $x Mathematical models. $3 578740
650 0 $a Financial risk $x Mathematical models. $3 2089997
650 0 $a Extreme value theory $x Mathematical models. $3 783947
830 0 $a Monographs on statistics and applied probability (Series) ; $v 128. $3 3652302
856 4 0 $u http://www.crcnetbase.com/doi/book/10.1201/b11537