statistical mathematics universitext introduction

books:

Modelling Extremal Events for Insurance and Finance **ISBN: 9783540609315**
Paul/ Kluppelberg, Claudia/ Mikosch, Thomas Embrechts

Springer Verlag, 1997

Modelling Extremal Events for Insurance and Finance by Paul Embrechts , Claudia Klüppelberg , Thomas Mikosch ...
Claudia Klüppelberg , Thomas Mikosch Paul Embrechts, 2002

"This is the International Edition. The content is in English, same as US version but different cover. Please DO NOT buy if you can not accept this difference. Ship from Shanghai China, please allow about 3 weeks on the way to US or Europe. Message me if you have any questions."

Empirical Process Techniques for Dependent Data
Michael Sørensen

Birkhäuser Boston, 2002

This book contains accessible surveys by several leading experts in the field. The first part is a thorough and comprehensive introduction to the existing theory of empirical process techniques for dependent data, starting from the classical contributions of Billingsley and including present day research. The bibliography provides an excellent basis for further studies. The remaining parts of the book give an overview of the most recent ...

Levy Processes

1 review

Birkhäuser Boston, 2001

A good overview of Levy processes and their applications.
This book is the outgrowth of the international conference on Levy processes and applications organized by Ole BARNDORFFF NIELSEN and others in Aarhus, Denmark a few years ago. However, it is not a classical conference proceedings volume and the chapters are written in clear, pedagogical format so the book is in fact a nice reference on theory and applications of Levy processes for anyone ...

Handbook of Financial Time Series

Springer, 2008

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. Experts present among others various aspects of the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory. Moreover, since processes in continuous time and cointegration play a very ...

Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied ...

15 reviews
Thomas Mikosch

World Scientific Publishing Company, 1999

Not a finance book, but one hell of an applied math book...
First of all, and most importantly, this is a math book with some finance in it, not the other way around, so you need to know some math before tackling it! If you find Newtonian Calculus complicated, Stochastic Calculus (which, in the realm of mathematics, is not the easiest of topics to start with) is not for you. The aim of the book is not to present mathematical finance theory, such as ...

Modelling Extremal Events: for Insurance and Finance (Stochastic Modelling and Applied Probability)

3 reviews
Paul Embrechts, Claudia Klüppelberg, ...

Springer, 2008

largest book written on extremes
This book presents extreme value theory and its applications with the finance industry as its primary target. There have been many excellent texts written on extreme value theory but none this extensive. As the authors admit even as extensive as it is the theory of multivariate extremes is neglected. They chose to only cover in detail the theory that is mature enough for application. What you ...

Non-Life Insurance Mathematics: An Introduction with Stochastic Processes (Universitext)
Thomas Mikosch

Springer, 2006

This book offers a mathematical introduction to non-life insurance and, at the same time, to a multitude of applied stochastic processes. It gives detailed discussions of the fundamental models for claim sizes, claim arrivals, the total claim amount, and their probabilistic properties. Throughout the book the language of stochastic processes is used for describing the dynamics of an insurance portfolio in claim size space and time. In addition ...