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[ subject:"Financial risk- Mathematical models." ]
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Extreme value methods with applicati...
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Novak, Serguei Y.
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Extreme value methods with applications to finance
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Extreme value methods with applications to finance/ Serguei Y. Novak.
作者:
Novak, Serguei Y.
出版者:
Boca Raton, FL :CRC Press, : ©2011.,
面頁冊數:
1 online resource (xxv, 373 p.) :ill.
內容註:
pt. 1. Distribution of extremes -- pt. 2. Statistics of extremes.
標題:
Finance - Mathematical models. -
電子資源:
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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