Weak Dependence: With Examples and Applications, J?rome Dedecker; Paul Doukhan; Gabriel Lang; Jos?
Автор: Malevergne Yannick, Sornette Didier Название: Extreme Financial Risks / From Dependence to Risk Management ISBN: 354027264X ISBN-13(EAN): 9783540272649 Издательство: Springer Рейтинг: Цена: 9781.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.Extreme Financial Risks will be useful to: students looking for a general and in-depth introduction to the field; financial engineers, economists, econometricians, actuarial professionals; researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; andquantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence. In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.
Автор: Kurowicka Dorota Et Al Название: Dependence Modeling: Vine Copula Handbook ISBN: 9814299871 ISBN-13(EAN): 9789814299879 Издательство: World Scientific Publishing Рейтинг: Цена: 20592.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Research and applications in vines have been growing rapidly. This book traces historical developments, standardizing notation and terminology. It summarizes results on bivariate copulae and results for regular vines. It gives an overview of its applications.
Описание: 'Overall, the book is highly technical, including full mathematical proofs of the results stated. Potential readers are post-graduate students or researchers in Quantitative Risk Management willing to have a manual with the state-of-the-art on portfolio diversification and risk aggregation with heavy tails, including the fundamental theorems as well as collateral (but most useful) results on majorization and copula theory.'Quantitative Finance This book offers a unified approach to the study of crises, large fluctuations, dependence and contagion effects in economics and finance. It covers important topics in statistical modeling and estimation, which combine the notions of copulas and heavy tails -- two particularly valuable tools of today's research in economics, finance, econometrics and other fields -- in order to provide a new way of thinking about such vital problems as diversification of risk and propagation of crises through financial markets due to contagion phenomena, among others. The aim is to arm today's economists with a toolbox suited for analyzing multivariate data with many outliers and with arbitrary dependence patterns. The methods and topics discussed and used in the book include, in particular, majorization theory, heavy-tailed distributions and copula functions -- all applied to study robustness of economic, financial and statistical models, and estimation methods to heavy tails and dependence.
Автор: Pipiras Название: Long-Range Dependence and Self-Similarity ISBN: 1107039460 ISBN-13(EAN): 9781107039469 Издательство: Cambridge Academ Рейтинг: Цена: 13939.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Real-world time series rarely satisfy simple assumptions, often exhibiting long-range dependence. Ignoring this undermines accurate detection of trends and other important behavior. This text for graduate students and researchers in statistics and probability is also a reference for specialists in fields such as economics, finance, and hydrology.
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