Modelling Extremal Events

Modelling Extremal Events
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

An Introduction to Statistical Modeling of Extreme Values

An Introduction to Statistical Modeling of Extreme Values
Author: Stuart Coles
Publisher: Springer Science & Business Media
Total Pages: 219
Release: 2013-11-27
Genre: Mathematics
ISBN: 1447136756
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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.

Extreme Events in Finance

Extreme Events in Finance
Author: Francois Longin
Publisher: John Wiley & Sons
Total Pages: 638
Release: 2016-10-17
Genre: Business & Economics
ISBN: 1118650190
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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.

Extreme Value Modeling and Risk Analysis

Extreme Value Modeling and Risk Analysis
Author: Dipak K. Dey
Publisher: CRC Press
Total Pages: 538
Release: 2016-01-06
Genre: Mathematics
ISBN: 1498701310
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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

Monte Carlo Methods in Financial Engineering

Monte Carlo Methods in Financial Engineering
Author: Paul Glasserman
Publisher: Springer Science & Business Media
Total Pages: 603
Release: 2013-03-09
Genre: Mathematics
ISBN: 0387216170
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From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Attribution of Extreme Weather Events in the Context of Climate Change

Attribution of Extreme Weather Events in the Context of Climate Change
Author: National Academies of Sciences, Engineering, and Medicine
Publisher: National Academies Press
Total Pages: 187
Release: 2016-07-28
Genre: Science
ISBN: 0309380979
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As climate has warmed over recent years, a new pattern of more frequent and more intense weather events has unfolded across the globe. Climate models simulate such changes in extreme events, and some of the reasons for the changes are well understood. Warming increases the likelihood of extremely hot days and nights, favors increased atmospheric moisture that may result in more frequent heavy rainfall and snowfall, and leads to evaporation that can exacerbate droughts. Even with evidence of these broad trends, scientists cautioned in the past that individual weather events couldn't be attributed to climate change. Now, with advances in understanding the climate science behind extreme events and the science of extreme event attribution, such blanket statements may not be accurate. The relatively young science of extreme event attribution seeks to tease out the influence of human-cause climate change from other factors, such as natural sources of variability like El Niño, as contributors to individual extreme events. Event attribution can answer questions about how much climate change influenced the probability or intensity of a specific type of weather event. As event attribution capabilities improve, they could help inform choices about assessing and managing risk, and in guiding climate adaptation strategies. This report examines the current state of science of extreme weather attribution, and identifies ways to move the science forward to improve attribution capabilities.

Climate and Social Stress

Climate and Social Stress
Author: National Research Council
Publisher: National Academies Press
Total Pages: 253
Release: 2013-02-14
Genre: Science
ISBN: 0309278562
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Climate change can reasonably be expected to increase the frequency and intensity of a variety of potentially disruptive environmental events-slowly at first, but then more quickly. It is prudent to expect to be surprised by the way in which these events may cascade, or have far-reaching effects. During the coming decade, certain climate-related events will produce consequences that exceed the capacity of the affected societies or global systems to manage; these may have global security implications. Although focused on events outside the United States, Climate and Social Stress: Implications for Security Analysis recommends a range of research and policy actions to create a whole-of-government approach to increasing understanding of complex and contingent connections between climate and security, and to inform choices about adapting to and reducing vulnerability to climate change.

Martingale Methods in Financial Modelling

Martingale Methods in Financial Modelling
Author: Marek Musiela
Publisher: Springer Science & Business Media
Total Pages: 521
Release: 2013-06-29
Genre: Mathematics
ISBN: 3662221322
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A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.

Extremes and Recurrence in Dynamical Systems

Extremes and Recurrence in Dynamical Systems
Author: Valerio Lucarini
Publisher: John Wiley & Sons
Total Pages: 325
Release: 2016-04-25
Genre: Mathematics
ISBN: 1118632192
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Written by a team of international experts, Extremes and Recurrence in Dynamical Systems presents a unique point of view on the mathematical theory of extremes and on its applications in the natural and social sciences. Featuring an interdisciplinary approach to new concepts in pure and applied mathematical research, the book skillfully combines the areas of statistical mechanics, probability theory, measure theory, dynamical systems, statistical inference, geophysics, and software application. Emphasizing the statistical mechanical point of view, the book introduces robust theoretical embedding for the application of extreme value theory in dynamical systems. Extremes and Recurrence in Dynamical Systems also features: • A careful examination of how a dynamical system can serve as a generator of stochastic processes • Discussions on the applications of statistical inference in the theoretical and heuristic use of extremes • Several examples of analysis of extremes in a physical and geophysical context • A final summary of the main results presented along with a guide to future research projects • An appendix with software in Matlab® programming language to help readers to develop further understanding of the presented concepts Extremes and Recurrence in Dynamical Systems is ideal for academics and practitioners in pure and applied mathematics, probability theory, statistics, chaos, theoretical and applied dynamical systems, statistical mechanics, geophysical fluid dynamics, geosciences and complexity science. VALERIO LUCARINI, PhD, is Professor of Theoretical Meteorology at the University of Hamburg, Germany and Professor of Statistical Mechanics at the University of Reading, UK. DAVIDE FARANDA, PhD, is Researcher at the Laboratoire des science du climat et de l’environnement, IPSL, CEA Saclay, Université Paris-Saclay, Gif-sur-Yvette, France. ANA CRISTINA GOMES MONTEIRO MOREIRA DE FREITAS, PhD, is Assistant Professor in the Faculty of Economics at the University of Porto, Portugal. JORGE MIGUEL MILHAZES DE FREITAS, PhD, is Assistant Professor in the Department of Mathematics of the Faculty of Sciences at the University of Porto, Portugal. MARK HOLLAND, PhD, is Senior Lecturer in Applied Mathematics in the College of Engineering, Mathematics and Physical Sciences at the University of Exeter, UK. TOBIAS KUNA, PhD, is Associate Professor in the Department of Mathematics and Statistics at the University of Reading, UK. MATTHEW NICOL, PhD, is Professor of Mathematics at the University of Houston, USA. MIKE TODD, PhD, is Lecturer in the School of Mathematics and Statistics at the University of St. Andrews, Scotland. SANDRO VAIENTI, PhD, is Professor of Mathematics at the University of Toulon and Researcher at the Centre de Physique Théorique, France.