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Author | : Paul Embrechts |
Publisher | : Springer Science & Business Media |
Total Pages | : 672 |
Release | : 2013-01-02 |
Genre | : Business & Economics |
ISBN | : 9783540609315 |
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"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS
Author | : Paul Embrechts |
Publisher | : |
Total Pages | : 668 |
Release | : 1997-06-02 |
Genre | : |
ISBN | : 9783642334849 |
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Author | : P. Embrechts |
Publisher | : |
Total Pages | : 600 |
Release | : 1996-10-01 |
Genre | : |
ISBN | : 9780387609317 |
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Author | : P. Embrechts |
Publisher | : |
Total Pages | : 400 |
Release | : 1996-11 |
Genre | : |
ISBN | : 9780412756900 |
Download Modelling of Extremal Events in Insurance and Finance Book in PDF, ePub and Kindle
Author | : Stuart Coles |
Publisher | : Springer Science & Business Media |
Total Pages | : 219 |
Release | : 2013-11-27 |
Genre | : Mathematics |
ISBN | : 1447136756 |
Download An Introduction to Statistical Modeling of Extreme Values Book in PDF, ePub and Kindle
Directly oriented towards real practical application, this book develops both the basic theoretical framework of extreme value models and the statistical inferential techniques for using these models in practice. Intended for statisticians and non-statisticians alike, the theoretical treatment is elementary, with heuristics often replacing detailed mathematical proof. Most aspects of extreme modeling techniques are covered, including historical techniques (still widely used) and contemporary techniques based on point process models. A wide range of worked examples, using genuine datasets, illustrate the various modeling procedures and a concluding chapter provides a brief introduction to a number of more advanced topics, including Bayesian inference and spatial extremes. All the computations are carried out using S-PLUS, and the corresponding datasets and functions are available via the Internet for readers to recreate examples for themselves. An essential reference for students and researchers in statistics and disciplines such as engineering, finance and environmental science, this book will also appeal to practitioners looking for practical help in solving real problems. Stuart Coles is Reader in Statistics at the University of Bristol, UK, having previously lectured at the universities of Nottingham and Lancaster. In 1992 he was the first recipient of the Royal Statistical Society's research prize. He has published widely in the statistical literature, principally in the area of extreme value modeling.
Author | : Dipak K. Dey |
Publisher | : CRC Press |
Total Pages | : 538 |
Release | : 2016-01-06 |
Genre | : Mathematics |
ISBN | : 1498701310 |
Download Extreme Value Modeling and Risk Analysis Book in PDF, ePub and Kindle
Extreme Value Modeling and Risk Analysis: Methods and Applications presents a broad overview of statistical modeling of extreme events along with the most recent methodologies and various applications. The book brings together background material and advanced topics, eliminating the need to sort through the massive amount of literature on the subje
Author | : Francois Longin |
Publisher | : John Wiley & Sons |
Total Pages | : 638 |
Release | : 2016-10-17 |
Genre | : Business & Economics |
ISBN | : 1118650190 |
Download Extreme Events in Finance Book in PDF, ePub and Kindle
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 and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial 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. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Author | : Mario Chavez |
Publisher | : John Wiley & Sons |
Total Pages | : 438 |
Release | : 2015-11-23 |
Genre | : Political Science |
ISBN | : 1119157048 |
Download Extreme Events Book in PDF, ePub and Kindle
The monograph covers the fundamentals and the consequences of extreme geophysical phenomena like asteroid impacts, climatic change, earthquakes, tsunamis, hurricanes, landslides, volcanic eruptions, flooding, and space weather. This monograph also addresses their associated, local and worldwide socio-economic impacts. The understanding and modeling of these phenomena is critical to the development of timely worldwide strategies for the prediction of natural and anthropogenic extreme events, in order to mitigate their adverse consequences. This monograph is unique in as much as it is dedicated to recent theoretical, numerical and empirical developments that aim to improve: (i) the understanding, modeling and prediction of extreme events in the geosciences, and, (ii) the quantitative evaluation of their economic consequences. The emphasis is on coupled, integrative assessment of the physical phenomena and their socio-economic impacts. With its overarching theme, Extreme Events: Observations, Modeling and Economics will be relevant to and become an important tool for researchers and practitioners in the fields of hazard and risk analysis in general, as well as to those with a special interest in climate change, atmospheric and oceanic sciences, seismo-tectonics, hydrology, and space weather.
Author | : Francois Longin |
Publisher | : John Wiley & Sons |
Total Pages | : 640 |
Release | : 2016-09-21 |
Genre | : Business & Economics |
ISBN | : 1118650336 |
Download Extreme Events in Finance Book in PDF, ePub and Kindle
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 and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial 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. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Author | : Haroon M. Barakat |
Publisher | : Cambridge Scholars Publishing |
Total Pages | : 280 |
Release | : 2019-05-14 |
Genre | : Mathematics |
ISBN | : 1527534650 |
Download Statistical Techniques for Modelling Extreme Value Data and Related Applications Book in PDF, ePub and Kindle
This book tackles some modern trends and methods in the modelling of extreme data. Usually such data arise from random phenomena such as floods, hurricanes, air and water pollutants, extreme claim sizes, life spans, and maximum sizes of ecological populations. It provides the latest statistical methods to model these random phenomena to understand and predict them, thus allowing the avoidance of damage or at least minimizing it. In addition, this book sheds light on the mathematical and statistical theories on which applied modelling methods were built. Therefore, it has both an applied and theoretical orientation, and represents a valuable addition to existing literature on the modelling of extreme value data.