Extreme Value Methods with Applications to Finance (Monographs on Statistics and Applied Probability, Band 122) - Hardcover

Buch 38 von 110: ISSN

Novak, Serguei Y.

 
9781439835746: Extreme Value Methods with Applications to Finance (Monographs on Statistics and Applied Probability, Band 122)
Hardcover
ISBN 10: 1439835748 ISBN 13: 9781439835746
Verlag: CRC Press, 2011

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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.

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Verlag
CRC Press
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
1439835748
ISBN 13 
9781439835746
Einband
Gebundene Ausgabe
Anzahl der Seiten
400
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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