Extreme Value Methods with Applications to Finance

摘要

Extreme value theory is a well developed field of such maturity that models are being developed and applied in many fields of study, e.g. failure risk design in engineering, financial risk modelling, survival modelling and network traffic analysis. The focus is on understanding the properties of rare events, typically those which are large in magnitude. In many applications, interest lies in settings where the maximum value in a long sequence is larger than the sum of all the others put together. This book is somewhat orientated towards researchers interested in financial risk, thus adding to the multitude of books on extreme value statistics in this field which cover the full spectrum of possible emphases (theoretical, methodological and applications-oriented). From the first page it is obvious this book is predominantly targeted to the more theoretic end of this spectrum. It provides a nice introduction to the probabilistic underpinnings of various univariate stationary extreme value models with a focus on heavy tailed distributions.