Extreme events in finance : a handbook of extreme value theory and its applications
edited by Francois Longin.
Cover -- Title Page -- Copyright -- Contents -- About the Editor -- About the Contributors -- Chapter 1 Introduction -- 1.1 Extremes -- 1.2 History -- 1.3 Extreme value theory -- 1.4 Statistical estimation of extremes -- 1.5 Applications in finance -- 1.6 Practitioners' points of view -- 1.7 A broader view on modeling extremes -- 1.8 Final words -- 1.9 Thank you note -- References -- Chapter 2 Extremes Under Dependence-Historical Development and Parallels with Central Limit Theory -- 2.1 Introduction -- 2.2 Classical (I.I.D.) central limit and extreme value theories -- 2.3 Exceedances of levels, kth largest values -- 2.4 CLT and EVT for stationary sequences, bernstein's blocks and strong mixing -- 2.5 Weak distributional mixing for EVT, D(un), extremal index -- 2.6 Point process of level exceedances -- 2.7 Continuous parameter extremes -- References -- Chapter 3 The Extreme Value Problem in Finance: Comparing the Pragmatic Program with the Mandelbrot Program -- 3.1 The extreme value puzzle in financial modeling -- 3.2 The sato classification and the two programs -- 3.3 Mandelbrot's program: A fractal approach -- 3.4 The Pragmatic Program: A data-driven approach -- 3.5 Conclusion -- Acknowledgments -- References -- Chapter 4 Extreme Value Theory: An Introductory Overview -- 4.1 Introduction -- 4.2 Univariate case -- 4.3 Multivariate case: Some highlights -- Further reading -- Acknowledgments -- References -- Chapter 5 Estimation of the Extreme Value Index -- 5.1 Introduction -- 5.2 The main limit theorem behind extreme value theory -- 5.3 Characterizations of the max-domains of attraction and extreme value index estimators -- 5.4 Consistency and asymptotic normality of the estimators -- 5.5 Second-order reduced-bias estimation -- 5.6 Case study -- 5.7 Other topics and comments -- References -- Chapter 6 Bootstrap Methods in Statistics of Extremes.
