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Extreme events in finance : a handbook of extreme value theory and its applications /
"A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applic...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
Wiley,
2016.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Extreme events in finance : |b a handbook of extreme value theory and its applications / |c edited by François Longin. |
| 264 | 1 | |a Hoboken : |b Wiley, |c 2016. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 520 | |a "A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financials modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques, and how these can be implemented in financial markets."-- |c Provided by publisher | ||
| 520 | |a "Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"-- |c Provided by publisher | ||
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover; Title Page; Copyright; Contents; About the Editor; About the Contributors; Chapter 1 Introduction; 1.1 Extremes; 1.2 History; 1.3 Extreme value theory; 1.4 Statistical estimation of extremes; 1.5 Applications in finance; 1.6 Practitioners' points of view; 1.7 A broader view on modeling extremes; 1.8 Final words; 1.9 Thank you note; References; Chapter 2 Extremes Under Dependence-Historical Development and Parallels with Central Limit Theory; 2.1 Introduction; 2.2 Classical (I.I.D.) central limit and extreme value theories; 2.3 Exceedances of levels, kth largest values; 2.4 CLT and EVT for stationary sequences, bernstein's blocks and strong mixing2.5 Weak distributional mixing for EVT, D(un), extremal index; 2.6 Point process of level exceedances; 2.7 Continuous parameter extremes; References; Chapter 3 The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program; 3.1 The extreme value puzzle in financial modeling; 3.2 The sato classification and the two programs; 3.3 Mandelbrot's program: A fractal approach; 3.4 The Pragmatic Program: A data-driven approach; 3.5 Conclusion; Acknowledgments; References; Chapter 4 Extreme Value Theory: An Introductory Overview4.1 Introduction; 4.2 Univariate case; 4.3 Multivariate case: Some highlights; Further reading; Acknowledgments; References; Chapter 5 Estimation of the Extreme Value Index; 5.1 Introduction; 5.2 The main limit theorem behind extreme value theory; 5.3 Characterizations of the max-domains of attraction and extreme value index estimators; 5.4 Consistency and asymptotic normality of the estimators; 5.5 Second-order reduced-bias estimation; 5.6 Case study; 5.7 Other topics and comments; References. | |
| 505 | 8 | |a Chapter 6 Bootstrap Methods in Statistics of Extremes6.1 Introduction; 6.2 A few details on EVT; 6.3 The bootstrap methodology in statistics of univariate extremes; 6.4 Applications to simulated data; 6.5 Concluding remarks; Acknowledgments; References; Chapter 7 Extreme Values Statistics for Markov Chains with Applications to Finance and Insurance; 7.1 Introduction; 7.2 On the (pseudo) regenerative approach for markovian data; 7.3 Preliminary results; 7.4 Regeneration-based statistical methods for extremal events; 7.5 The extremal index; 7.6 The regeneration-based hill estimator; 7.7 Applications to ruin theory and financial time series; 7.8 An application to the CAC40; 7.9 Conclusion; References; Chapter 8 Lévy Processes and Extreme Value Theory; 8.1 Introduction; 8.2 Extreme value theory; 8.3 Infinite divisibility and Lévy processes; 8.4 Heavy-tailed Lévy processes; 8.5 Semi-heavy-tailed Lévy processes; 8.6 Lévy processes and extreme values; 8.7 Conclusion; References; Chapter 9 Statistics of Extremes: Challenges and Opportunities; 9.1 Introduction; 9.2 Statistics of bivariate extremes; 9.3 Models based on families of tilted measures; 9.4 Miscellanea; References. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Extreme value theory |x Mathematical models. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Théorie des valeurs extrêmes |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Insurance |x Risk Assessment & Management. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 700 | 1 | |a Longin, François Michel, |d 1968- |e editor. | |
| 758 | |i has work: |a Extreme events in finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGj6KMXRCTqmwXHpmgT6jy |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |t Extreme events in finance. |d Hoboken : Wiley, 2016 |z 9781118650196 |w (DLC) 2016004187 |w (OCoLC)936349635 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=4694621 |z Texto completo |
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